Step 1: Preheat oil in skillet with candy thermometer to 350° F.
Step 2: Beat egg and milk together. Add 1/2 cup of the flour and the melted butter; whisk well to blend.
Step 3: Mix the remaining flour in a bowl with the salt, pepper, cayenne and Old Bay seasoning.
Step 4: Preheat oven to 175° F to keep shrimp warm. Have plate with paper towels on it ready to place fried shrimp on and keep warm in the oven.
Step 5: When oil comes to temperature, put all the shrimp in the batter to coat. Have a clean plate ready to place dipped shrimp on so it's all ready to go when the oil is ready. Working with one hand for batter and one hand for flour mixture, shake each shrimp off of excess batter and put in flour mixture. Shake off excess and place on clean plate. If you're able to work with both hands at the same time, be shaking the excess batter of a shrimp while you're coating the other in the flour. Then begin to place in hot oil, but do not crowd them. You will have to do them in batches. Just make sure you keep the oil at 350° F. If it drops below, let it come back up before you fry the rest. Carefully remove them as they become brown and place them on plate with paper towels and keep warm in the oven, as you finish frying the rest.
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