In a heavy-bottomed saucepot over medium-high heat, reduce the Worcestershire sauce, steak sauce and white wine by 3/4.
While sauce is reducing, bake the died andouille sausage until it becomes crisp.
Once the sauce has reduced, add the heavy cream and reduce again by 1/4. Add the shrimp and roasted andouille sausage to poach in the reduction. Serve over grits.