Heat 1 tablespoon of olive oil in a large pot on medium-high heat. Add the onions and brown, about 6 to 8 minutes. Add in the grits and 6 cups of water and stir over medium-low heat until the grits have absorbed the water and are cooked through, about 20 to 25 minutes. Whisk the cheese into the grits and season with salt and pepper. Keep warm.
Line a hot grill with Reynolds Wrap(R) Heavy Duty Aluminum Foil.
Combine the shrimp, paprika, cumin, and remaining 3 tablespoons of olive oil in a bowl and mix.
Place the shrimp right onto the foil on the grill and cook for 3 to 4 minutes on each side or until browned and cooked throughout.