Shrimp store fat in two locations. There is a big nugget of orangish fat in the head of the shrimp. If you get heads-on shrimp, you'll see it. Otherwise, don't worry about that. The other spot shrimp store fat is in one or two "veins" that run down the back alongside the intestinal tract. It's been my experience that shrimp only store fat there when they get really big, around 16/20 or slightly bigger.
The only other way I can see shrimp being high in cholesterol is if they are deep-fried.
If you're really worried, try sauteing your shrimp in a little bit of olive oil, or grilling them. Poached is another classic preparation, for Cocktail Shrimp.
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