Peel shrimp, leaving tails attached. Pat shrimp dry with paper towels. Heat oil in large nonstick skillet over medium heat. Add shrimp; cook for 2 to 4 minutes or until shrimp reach 145°. Cool completely in refrigerator.

To assemble skewers, thread one avocado cube, radish slice and shrimp each onto 2½-inch cocktail picks.

Combine cocktail sauce and lime juice in a small bowl. Spoon into 8 (2-ounce) clear plastic shot glasses. Place 1 skewer in each shot glass; sprinkle with chili lime rub, if desired. Serve with lime pieces.