If you are baking with oven, line a baking sheet with aluminum foil or parchment paper and arrange the shrimp skewers in a single layer. Using a small brush, baste both sides of the shrimp with the oil. Roast for 10 minutes or until the shrimps are cooked. Broil for 1 minute or until the top surface is slightly charred. Remove from the oven, garnish with chopped cilantro and serve immediately with lime wedges.