Roll in seasoned flour until well coated. Dip each shrimp in buttermilk. Fry in hot oil (375°) until shrimp are golden brown and float to top; drain. Transfer shrimp to a warm serving platter; serve with cocktail sauce. Dredge shrimp in remaining flour; dip in batter. Step 4. Shake off additional flour. Preheat vegetable or peanut oil to 350 degrees. Drain on a paper towel lined wire rack placed over a baking sheet. Cook shrimp, a few at a time for 1-2 minutes or until golden brown. How to Make Southern Fried Shrimp: Peel and devein shrimp.