1. Bring 4 1/2 cups of salted water to a boil in a medium saucepan over high heat. Whisk in the grits; reduce heat to medium low. Cook, stirring occasionally, 15 minutes.
2. Meanwhile, heat a skillet over medium heat. Add the olive oil, onion, prosciutto and garlic. Cook, stirring occasionally, until onion is golden brown, 8 to 10 minutes. Add the tomatoes, oregano and shrimp. Cook until shrimp are opaque, about 4 minutes. Add the arugula; cook 1 minute.
3. Place grits on plates; top with shrimp mixture. Sprinkle with cayenne pepper if using.