Since you are not cooking them in the sauce, why are you leaving the shells on?
I like to cook my shrimp with shells on as it seems the shrimp do not shrink as much and shells give good flavor to whatever sauce you cook them in.
Also your fingers will be bright red after eating them.
I remove the shells except for the handle (shell tips) after cooking in most instances.
Personally if i were using cooked shrimp, the shells would be removed before tossing in the buffalo sauce.
Seems this could do well also as fried shrimp. Would be more authentic? Like the wings.