If making a soup, then they will cook in about 5 minutes. So peel and clean and add them at the end.
If you're adventurous, boil the shells and strain the water for shrimp stock, then make the soup base with your vegetables and then add them at the end since they cook quickly.
I'd recommend adding butter and cream with dill and lemon... or maybe add fish and make a seafood stew with a tomato base.
Good luck!