JMO, but depending what cleaning crew you have, you could leave it and they'll take care of it. I have several species of shrimp and usually just leave their molts in the tank for the snails, starfish, etc.
i read somewhere that it is a good idea to leave it because when the shrimp sheds, it needs a little time for the new skin to harden and the skin it shed acts as a decoy to the other fish. my shrimp shed shortly (say that 10x fast!!) after we got it, i left it and within a few days it was gone. hope this helps :happyfish