1. Preheat the oven to 450°F.

2. Heat ¼ cup oil in a large sauté pan over medium heat. Add the onion along with a pinch of salt. Cover and cook, stirring occasionally, for 8 minutes, or until soft and translucent. Add the garlic and sauté for another minute. Stir in the oregano along with a pinch of salt. Add the diced tomatoes and the wine and bring to a simmer. Simmer for 3 minutes.

3. Stir in the canned tomatoes with their juice, raise the heat to medium-high, and again bring to a simmer. Simmer for about 6 minutes, or until the sauce has thickened slightly. Fold in the parsley and season with salt and pepper to taste, noting that the feta will add some saltiness.

4. Spoon just enough tomato sauce into the bottom of a saganaki pan (or a 9 x 14-inch glass baking dish) to cover. Working from the outside in, make 3 concentric circles of shrimp. (If using a baking pan, begin placing the shrimp, three at a time, tail-to-head, in neat rows across the dish, with the tails all facing in the same direction and just barely touching. Add the remaining shrimp in overlapping rows of 3, shingle fashion, until the dish is filled. You should have 3 rows of 13 to 15 shrimp each.) Season the shrimp with salt and pepper to taste and then spoon the remaining tomato sauce over the top. Sprinkle the feta cheese over the top, drizzle with olive oil, and sprinkle with oregano.

5. Bake in the middle of the preheated oven for 20 minutes, or until very hot and bubbling with golden brown cheese.