About the shrimp...
I think most know cooking shrimp with the shell and head on add the most flavor to the dish, hence steaming shrimp with the head/shell on.
But like many, I don't like to to work to much when eating, and being a chef who cooked for fine dining establishments, having the guest peel their shrimp at the table is not ideal.
I advocate you buy the head on shrimp whenever ever possible, usually Asian markets sells them, most typical grocery stores (at least around here) do not.
Peel the shrimp leaving the head on, then prior to making your dish make a quick shrimp stock to use instead of water or bouillon. You get the shrimp flavor without the hassle of peeling while your eating it. Reason for leaving the head on while you cook is because the fat is in the head and has tremendous flavor. If you cant do the head on, then at least throw the heads in the stock with the shells. The stock will only take 30-45 minutes with a bit of mirepoix, this could be made ahead of time and frozen as well.
Just a couple of thoughts on shrimp anyway
I do not have a recipe for Paella, as I often say here...its not about recipes its about using good technique and learning a method and what the key point of making that dish are. Many of those things have already been mentioned here. The type of pan (to be authentic but a saute pan work just fine), the rice, the stock, saffron, the cooking time and when to add certain items. Otherwise you put in it what you like to eat. Don't like calamari, skip it and add mussels, don't like mussels, add clams, don't like seafood use chicken. Just the other day I used pork and lobster and it turn out great.