Cut the sausage, polenta, bell pepper, and onion into roughly 16 pieces (2 for each skewer), leaving the shrimp whole. Assemble the skewers in any order you prefer, alternating the ingredients so you have an even number on each skewer.
Whisk the marinade ingredients in a small bowl; brush onto the skewers, focusing on the shrimp and polenta pieces. Salt according to taste.
Grill, over low heat, 8-10 minutes per side until nicely charred in places, and the shrimp is cooked through. Serve hot.