1. Preheat oven to 400°F. Toss the shrimp with the vegetable oil, salt, and pepper. Dip one side of each shrimp in the toasted sesame seeds. Skewer with a toothpick. When the oven is heated, place the skewered shrimp (sesame seeds on top) on a foil-lined baking sheet and bake 5 to 7 minutes, until the shrimp are firm to the touch.
2. For the dipping sauce, put the remaining ingredients into a bowl and mix until blended. Season to taste with salt and pepper. Serve with the warm shrimp.