1. Shell the shrimp. Devein them by making a shallow incision down their backs with a small, sharp knife and lifting out the black or white intestinal vein with the point of the knife.
2. In a heavy 2- to 3-quart casserole, heat the annatto oil over moderate heat. When a light haze forms above it, add the onions, celery and chilies and, stirring frequently, cook for about 5 minutes, until the vegetables are soft but not brown.
3. Watch carefully for any sign of burning and regulate the heat accordingly. Add the flour and stir for a minute or so. Then add the tomatoes, parsley, bay leaf, sugar, salt and a few grindings of pepper.
4. Cook briskly until most of the liquid in the pan has evaporated and the mixture is thick enough to hold its shape almost solidly on the spoon.
5. Reduce the heat to low, stir in the shrimp and Worcestershire sauce, cover tightly, and simmer for 4 or 5 minutes, until the shrimp are firm and pink. Taste for seasoning.
6. Serve at once over a mound of hot cooked rice, accompanied by the grated cheese in a separate bowl.
