I just steam or boil them for a few minutes. Two or three. No more than five. When you think they're not quite done and need a couple more minutes, take them out. They'll continue cooking in the shell from residual heat.
Beware--not all Reds are created equally. If you're up for the drive, I've never found any even remotely close to as good as those at Sexton's in Destin almost to East Pass bridge. Huge and fresh in texture and appearance (I'm pretty sure all Reds are always frozen, though, because of the distance the boats have to go to get them). Last time I was there, anyway (as always, YMMV). Shrimpers is closer and also good, but still nothing like Sexton's.
I'm not sure what Publix has in the way of Reds. I never buy seafood there.
on edit:
If you really want to blow people away, get some of the Sexton's Reds and make ceviche. Be advised that it needs to sit (in the refrigerator) about 24-hours or so before serving.