Heat a grill to medium high heat. Toss the shrimp with salt, pepper, olive oil, and lemon juice. Grill the shrimp for 2 to 3 minutes per side or until they are opaque and charred. Set aside on a platter.
Make the chili cocktail sauce by combining the chili sauce, ketchup, horseradish, lemon juice, and Worcestershire sauce in a medium mixing bowl.
Serve the shrimp warm or room temperature with the cocktail sauce and lemon wedges.