Don't be nervous! But don't worry if they don't come out exactly as you planned. They can be a bit tricky the first time.
Like I said, I always grill mine with the shells on. A glaze
won't work that well that way, but a marinade does, as will a brine
. A glaze will work better on shell-off shrimp, but can also burn.
Take a look at this very simple grilled brined shrimp recipe
. It will explain how to brine shrimp, then marinate, then grill. Be very careful about using a strong acid like lime juice or something with enzymes like pineapple juice -- too much and/or too long will ruin the texture of the shrimp.
You sound like you have a good sense for the types of flavors you like, so I'd suggest just inventing a yummy marinade. Or skipping it and letting the shrimp stand on its own.
Here's a grilled shrimp recipe using garlic oil.