- Place oil in a large skillet or wide pot set over medium-high heat. When hot, add shrimp and cook about 1 to 2 minutes per side, just until cooked through. Transfer shrimp to a plate.
- Add rum and vanilla to the pan, bring to a boil and cook until rum is reduced to about 2 Tbsp. (If using a gas stove, be careful not to let the flame ignite the rum, which could happen if you swirl the pan too much.)
- When rum has reduced, combine orange juice and cornstarch in a small bowl. Add the mixture to the pan, along with coconut milk and cayenne pepper. Bring to a simmer and cook sauce 2 minutes, until lightly thickened. Season sauce with salt, to taste.
- Return shrimp to the pan and heat through 1 to 2 minutes. Serve garnished with a few mint or cilantro leaves and some toasted coconut. Serve the rest of the toasted coconut at the table.
Note: To toast coconut, place in a non-stick skillet set over medium heat. Cook and stir coconut until lightly toasted, about 3 to 4 minutes.