Fill a large stock pot with water. Squeeze the lemons into the pot and then drop them in. Add in the onion, bay leaved, sugar, and salt. Bring to a boil.
Fill a large bowl with ice and water and set near the stove.
Add half the shrimp to the boiling water and cook for 2-3 minutes or until pink and float to the top. Remove with a slotted spoon and place in the ice water. Repeat with remaining shrimp. Drain once cooled and refrigerate until ready to use.
For the Cocktail Sauce:
Mix together all the sauce ingredients and refrigerate until ready to serve.
Place cocktail sauce in a medium bowl on a large platter and surround it with the shrimp. Garnish with lemon wedges and fresh pa