Start by adding water, milk, bay leaf and salt to a heavy saucepan. Bring to a boil.
Gradually whisk in the grits, until you have added the whole thing in the pot, a little at a time. Keep stirring with a whisk to prevent any lumps.
You may have to remove saucepan from heat while trying to get rid of lumps – if needed.
Reduce heat and cook grits at a bare simmer, covered, stirring frequently, until water is fully absorbed and grits thickened. This will take you about 15 minutes.
Remove grits from heat; add butter and cheese, stirring with a whisk until cheese melts.
Assemble the dish by placing the grits at the bottom of a shallow bowl, Cajun shrimp and it’s sauce. Enjoy piping hot!