The Røgerie Gudhjem is one of two dozen working smokehouse-restaurants scattered across Bornholm Island in Denmark. Founded in 1912, it now serves a thousand hungry people a day in summer. They flock here for house-smoked salmon and herring—the latter topped with raw onion and raw egg yolk and picturesquely christened Sol over Gudhjem (literally “sun over God’s home”). For me, the Røgerie’s star attraction is the hyper-sweet Baltic Sea shrimp smoked in the shell, with nothing more in the way of seasoning than smoke from local beech wood. Not even salt or pepper. The fireworks come from the pristine shrimp—and from the piquant Danish sauce.
Step 1: Set up your smoker following the manufacturer’s instructions and preheat to 225° to 250°F. Add the wood as specified by the manufacturer.
Step 2: Rinse the shrimp, drain, and blot dry. Arrange the shrimp on a lightly oiled wire rack and place in the smoker. Smoke until golden brown and cooked through (the shrimp will feel firm when squeezed), 30 to 60 minutes, or as needed (depending on the size of the shrimp).
So how do you clean shrimp with the shells on? Easy. Make a lengthwise slit down the back of each shrimp using kitchen scissors. Pull or scrape out the black vein using the tine of a fork or the point of a bamboo skewer.