In Thai cooking the tender inside leaves of lemon grass are thinly sliced and pounded and added to many dishes, especially salads. Yes, you eat them! However, the long slit stalks are added to flavor Tom Yum Gnoong along with Magrood/Kaffir Limes leaves. Both are easily removed just like tail and or shell on the shrimps. Yes, traditionally in Thai cuisine the shrimp wear their coats as it adds to the flavor and moistness. Fingers are a good utensil just ask the folks in various countries like India and Morocco. Mary-Anne