While you should definitely grill lobster in the shell, Foltz sees pros and cons to baking lobster tails in the shell and out of the shell. Just as shells are the outermost protective layer for live lobsters, they are equally protective when cooking them. "Baking inside the shell helps retain moisture, giving you a juicy result," Foltz says, "but it can take a little longer." Taking the meat out of the shell means lobster tails are more susceptible to drying out in the oven but "the meat cooks faster, allowing for a nice golden crust and more direct flavor from the seasoning."