Soak 8 wooden skewers in water for an hour. (This will help to prevent them from burning or catching on fire.)
In a medium bowl, combine yogurt, soy sauce, and lemon juice. Add shrimp, mix well to coat, and let marinate in the refrigerator for 1 hour. Turn on the broiler or prepare outdoor grill.
Remove shrimp from marinade and stick on to presoaked skewers, alternating the shrimp with cherry tomatoes and pepper chunks. Cut off sharp ends of wooden skewers.
Grill shrimp skewers under broiler or on outdoor grill for 4 minutes, then turn and cook an additional 4 minutes. Serve with salsa mixed with equal parts sour cream for dipping if desired.