Whisk oil, garlic, thyme, smoked paprika, sherry wine vinegar, salt, black pepper, and crushed red pepper in medium bowl to blend for glaze.
Alternately thread shrimp, sausage pieces, cherry tomatoes, and sections of onion wedges on each of 6 long metal skewers. Arrange skewers on large rimmed baking sheet.
Coat grill rack with non-stick spray and prepare barbecue (medium-high heat).
Brush skewers on both sides with glaze. Grill until shrimp are opaque in center, turning and brushing occasionally with more glaze, 6 to 8 minutes.
Arrange skewers on platter. Serve with remaining bowl of glaze.