Heat vegetable oil in a small saucepan over medium-high heat, then add cilantro leaves and scallions. Fry until fragrant, 2-3 minutes, then transfer to a bowl, stir in soy sauce, and set aside.
Pour about 2 cups water into a wok and place a covered bamboo steamer (or substitute) in wok over water. Bring water to a boil over high heat.
Meanwhile, shell and devein shrimp, then slice each shrimp in half lengthwise. Unfold sha ho fen (fresh rice sheets) on a clean surface and cut each sheet into 6 squares (each about 3'' x 3''). Place 2 shrimp halves on one side of each square and fold over twice to enclose shrimp. Place 6 shrimp rolls on a plate small enough to fit inside steamer.
Place plate in steamer, cover, and steam until shrimp turn opaque, about 5 minutes. Remove plate from steamer, spoon about half of sauce over top, and serve at once. Repeat steaming process with remaining shrimp rolls, spooning remaining sauce over them when done.