Preheat oven to 375 degrees F (190 degrees C). Grease an 8-inch baking dish.
Cut feet and membrane off the bottom side of each lobster tail. Run a knife inside the top of each tail to loosen meat from the shell. Squeeze some lemon juice between the meat and top side of loosened shell.
Mix Parmesan cheese, butter, creamy salad dressing, and paprika together in a bowl.
Shape 2 sheets of aluminum foil into boats just wide enough to hold lobster tails upright; sides should be 1 inch high. Set lobster tails belly-side up in boats. Squeeze more lemon juice over lobster meat. Spoon Parmesan cheese mixture evenly on top.
Set lobster tails inside the prepared baking dish. Pour in 1/2 inch water around the boats. Place juiced lemon wedges in the water.
Bake in the preheated oven until lobster meat flakes easily with a fork, about 10 minutes. Turn oven to broil; broil until tops are crispy, about 2 minutes. Crack oven door open; broil for 1 to 2 minutes more.