Made these tonight at the cottage.

1 medium onion sautéed in butter, add minced garlic, 2 chopped tomatoes, chili flakes. Stew for about five minutes. Allow to cool (made it earlier in the day)
Divide into 4 sheets of aluminum foil: 1 lb unpeeled deveined shrimp, feta cheese, dill, 2 Tbsp white wine(each packet) and onion tomato mixture.
Double fold ends and sides to create pocket.
Put on hot grill, 2 minutes a side. It should puff up.

Take off heat and carefully open, watch for the steam.