I've had different variations, but none with a "gravy", there were drippings from the shrimp pan, but not a gravy, that were put on the grits. I guess you could do like an etouffe with the shrimp, make the roux based gravy, then smother the shrimp in it until there just done, then pour over grits. The simplest is a quick saute. Equal butter and oil, then minced garlic, green onions for a minute, add the shrimp, then a splash of white wine, fresh parsley, salt and pepper, then over the grits.