In a gallon size resealable plastic bag, we combine the milk and smoked paprika. We add the shrimp and seal. We refrigerate, in a bowl (for extra “safety”), for an hour. We could have just had the shrimp marinating at room temperature for 10 minutes, or in the refrigerator for half an hour, but we have an errand to run so we let them soak for an hour.
When it is about half an hour before we want to eat, we pour the cornmeal into a shallow bowl and lay paper towels out on one dinner plate and get another dinner plate ready.
We drain the shrimp by opening the plastic bag a bit and pouring off the juices. We lay the shrimp out on the paper towels and squeeze the lemon half all over the shrimp. We also toss the shrimp with a little salt and add a little to the cornmeal and stir with our hands.
One at a time, we coat a shrimp with the cornmeal and place on the clean dinner plate. When all the shrimp are coated, we wash our hands well and then refrigerate the coated shrimp. We discard the wet paper towels. With clean hands, we get a clean plate ready with paper towels to drain the cooked shrimp.
We put our Dutch oven on the stove and put a few inches of oil in it for frying. We turn on the heat to medium-high and put a deep-fat fry thermometer into the oil. We want the oil to reach 370° F to start frying.
When the oil is hot enough, we place, using clean hands, 8 of the shrimp (carefully) into the hot oil. We wash our hands well and use our “spider” strainer to flip the shrimp around in the oil. We want the shrimp nicely browned and cooked all the way through. This takes about 3 minutes.
We remove them to the paper towel lined plate and sprinkle with salt. We repeat the frying with more shrimp, waiting each time for the temperature to reach 370° F again.
We could have transferred the already cooked shrimp into a warm oven, but we do not bother here. The shrimp are too delicious to wait! We serve with cocktail and tartar sauces.