Heat oven to 350°F. Place fillo shells on ungreased large cookie sheet.
Stir cream cheese to soften. Spoon 1 teaspoon cream cheese into each shell. Top each with 1 shrimp.
Bake about 2 minutes or until cream cheese is soft. Remove from cookie sheet; place on serving platter. Top each with 1/2 teaspoon plum sauce and lime peel.