Preheat the oven to 400 degree F and line a large baking sheet with parchment paper. Pat the shrimp dry and lay them out on the baking sheet. Then drizzle the shrimp with a little oil, and salt and pepper liberally.
Roast the shrimp in the oven for 5-8 minutes, until plump and pink. Take the shrimp out of the oven before they seize up into tight circles. You want them to look like Cs, not Os.
Meanwhile, spray a 24-count mini muffin pan with nonstick cooking spray. Place the wonton wrapper down in each well, and press them down to form the shape of a cup. Cut the cream cheese into 24 pieces and place a small dollop in each wonton cup. Bake the wonton cups for 7-10 minutes, until golden brown around the edges.
Once the shrimp and wonton cups are out of the oven, spoon a teaspoon of cocktail sauce into each wonton cup, and press a roasted shrimp into the cups. Serve warm!