OP ... are you in or near New Orleans that you can get Leidenhimer or Gendusa bread? If not, find the nearest Vietnamese market and get some Banh Mi bread. If neither of those is an option, then definitely toast whatever bread you use.

Shrimp - use a size of shrimp that's about 60 count per pound when peeled. A good ratio of shrimp is to have a half pound (approx. 30 peeled shrimp) on a 10 to 12 inch po-boy.

Batter them with a seasoned corn FLOUR breading, like Zatarain's or Louisiana Fish Fry brand "Shrimp Fry." DO NOT use a breading that has corn MEAL in it. Gritty batter on a fried shrimp (or any seafood) is unbecoming on a po-boy. You don't have to involve all kinds of extracurricular stuff in the battering of the shrimp like mustard, buttermilk, hot sauce, lemon pepper, etc.

Simply rinse the peeled meat, and crack an egg directly into the bowl with the peeled shrimp. Stir them around and mix it up until all of the shrimp are sticky-icky, and then simply toss them in the seasoned corn flour breading, shake off the excess, and fry them at about 350 to 365 for just a few minutes. Take them out and let them drain (preferrably on a wire rack) - you can get wire racks for baking at Dollar Tree - get two and criss cross them and you're good to go.

Toasting the bread or not is your own personal choice - I toast mine. As for the dressing of the sandwich, that's also your own personal preference, but when I ran a high volume po-boy kitchen in New Orleans for over 10 years, I can tell you there were two schools of thought ...

Butter-Pickle-Ketchup-Hot Sauce
or
Mayo-Lettuce-Tomato-Pickle (aka Dressed) - sometimes with Ketchup and Hot Sauce as well.

That's how 99% of the Seafood Po-Boys were ordered .. then you had the 1% who got crazy shite like mustard and onions with cheese, tartar sauce, and roast beef gravy.

Ingredients make a difference - Blue Plate Mayo, Crystal or Tabasco Hot Sauce, Heinz Ketchup, fresh tomatoes, chiffonade iceberg lettuce (not big solid leaves of curly stuff), basic hamburger sliced dill pickle (we used Cajun Chef). Decide how you like your po-boy and use good ingredients, get some solid bread, decide if you like it toasted or not, and fry up some good, not over-done shrimp, and have a good amount of shrimp without going crazy. The whole thing should balance out.

The last tip I would give is to have the po-boy set up right before you fry, so you can put the po-boy together while the shrimp are still hot, with preferrably cold vegetables and condiments. That's just one more "little thing" that can take your po-boy from good to great.