Combine oil, bell pepper, onion, paprika, cumin, cayenne, garlic, and salt in pan. Cook over hot side of grill, stirring occasionally, until vegetables soften, about 5 minutes (2 or 3 minutes longer if using gas grill); transfer to cooler side of grill and proceed to grill shrimp, adding cilantro and lemon juice just before serving.

Makes enough to sauce 1 1/2 pounds shrimp.