Add Worcestershire, lemon juice, butter, rosemary, garlic, thyme, hot pepper sauce, peppers, and shrimp to a large bowl; wrap in plastic wrap and chill for 30 minutes.
Preheat oven to 425 degrees F. Fold 4 (16 x 12-inch) sheets of aluminum foil in half crosswise. Open foil.
Take shrimp out of bowl, saving marinade. Spoon 2 1/4 cups shrimp on each piece of foil. Pour the rest of the marinade overtop of the shrimp. Lay lemon slices and 1 teaspoon butter on top of each shrimp packet. Fold foil over shrimp and seal edges.
Lay packets on a baking sheet and bake 20 minutes. Let rest 10 minutes before serving.