Step 1: Heat oven to 375°F.
Step 2: Thaw the shrimp under cold running water and remove the shells, leaving the tail on.
Step 3: Slice the orange and lemon into 31/4-inch-thick slices. Arrange the citrus in an oven proof stainless or non-reactive pan.
Step 4: Arrange the shrimp over the citrus.
Step 5: Arrange the sage leaves over the shrimp.Season with fresh black pepper.
Step 6: Roast for 12 to 13 minutes, until the shrimp is just done.
Step 7: Remove from the oven, drizzle with extra-virgin olive oil, and salt to taste.
Step 8: Serve hot.
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