Rinse shrimps under cold water, pat dry, and marinate for 15 minutes with oil, parsley, and juice of 1/2 lemon.
Rinse lemon leaves and set aside.
In a chopper add bread, garlic, parsley, chili pepper, and parmigiana Reggiano cheese. Pulse for a few seconds, add oil, and mix.
Place 2 to 3 shrimps on a lemon leaf, and add a tablespoon of the bread mixture. Pat down gently and place on a parchment paper-lined cookie sheet.
Add a little wine and drizzle oil over the shrimps and bake at 370°F 190°C for about 20 minutes depending on shrimp size.