In a shallow dish or large Ziploc bag, combine shrimp, orange juice, orange zest, garlic, oil, chopped thyme, salt and pepper. Toss to coat. Marinate in the refrigerator for 30 minutes or up to 8 hours.
Cut two or three large rectangles of foil. Divide shrimp & marinade and place in center of foil rectangles.
Close the foil lengthwise, top to bottom, folding over and pinching to close.
Now close each side one at a time rolling up toward the middle.
You can make 2-3 of these depending on how big your foil sheets are and how many shrimp are in each packet.
Place foil packets onto preheated grill and cook for about 8-10 minutes on high heat. Cooking time all depends on the heat of the grill and amount of shrimp in each packet. Pull foil packets off grill and carefully open. Serve and enjoy!