Cook grits in your preferred method. I like to use a rice cooker on porridge setting, but you can also make them easily on the stove top. Follow the directions of the brand of grits you buy. Allow to cool slightly so they are easier to work with and a bit sticky.
Toss shrimp in a few pinches of Old Bay.
Heat skillet to medium high and add cooking oil. Saute shrimp until they form a nice crust.
Slice bell peppers into thin strips.
To assemble sushi
Place a sheet of nori on your sushi mat.
Spread grits out about 1/4 in. thick to all corners.
Place peppers and shrimp about 1/3 of the way down.
Slice into 8 pieces.
For the dipping sauce
Combine all ingredients and mix well.