While the grits are cooking, bring a medium pot of water to a simmer. Add the Old Bay and shrimp and cook just until the shrimp are cooked through, about 5 minutes.
Drain the shrimp and roughly chop them into bite sized pieces. Set aside until grits are done.
When grits are done, stir in butter and cheese until both are melted. Season to taste with salt.
Stir in chopped shrimp. Ladle into warmed bowls and grind some pepper on top. Serve at once.