Red Lobster's Shrimp Diablo

3 lb. Large Uncooked Shrimp In the Shells (no heads)
Milk
1/2 lb. Unsalted Butter
1 Jar Kraft BBQ Sauce
1/2 Cup Ketchup
1 Tablespoon Fresh Ground Pepper
1/4 Cup Frank's Red Hot Sauce
Wash shrimp in cool water and remove heads if needed.
Soak shrimp in milk overnight.
Mix all sauce ingredients in a sauce pan and stir until boiling.
Remove from heat and refrigerate for at least four hours.
Drain milk from shrimp, place them in a baking pan, and cover
evenly with the sauce. Let stand 1 hour.
Bake uncovered in preheated oven (450F) for 15 minutes
(less time for smaller shrimp).