Heat 2 tablespoons oil in a 12-inch skillet over medium heat; add shrimp, and saut 1 to 2 minutes on each side or until lightly browned.
Place in a bowl, and cover with a paper towel.
Add remaining oil, onion, and next 3 ingredients to skillet, and saut 2 to 3 minutes or until fragrant. Stir in bay leaves and next 5 ingredients. Slowly bring to a boil, and simmer 5 minutes or until onion is tender.
Pour mixture over shrimp. Cover and chill 2 hours or overnight. Discard bay leaves before serving.