Strip rosemary leaves from sprig leaving 1 inch on top with leaves. Soak the stems in cold water for about a minute so they won’t burn on the grill. Pat shrimp dry with a paper towel. In a bowl, combine oil, garlic, oregano, basil, thyme, lemon zest, salt, and pepper. Add shrimp to bowl to marinate for about 30 minutes (or more).