Place the shrimp in a bowl and add the celery, bell pepper, 4 tablespoons  of the mayonnaise, the ground pepper, dill and ¼ teaspoon of the salt. Using a rubber spatula, blend together until the ingredients are evenly distributed.

Cover and refrigerate until well chilled, about 2 hours.

In a small bowl, using a rubber spatula, work the egg yolks into a paste. Add the remaining 3½ tablespoons mayonnaise and blend together thoroughly. Add the Dijon mustard, the remaining ¼ teaspoon salt and the cayenne pepper and blend evenly.

Cover and chill.

To assemble the sandwiches, place 4 slices of the white bread on a work surface. Spread them very lightly with mayonnaise. Divide the chilled egg mixture among them, spreading it evenly. Top each layer of egg mixture with 4 or 5 arugula sprigs just to cover the surface. Very lightly spread the wheat bread slices with mayonnaise.

Place these slices, mayonnaise side down, on top of the arugula leaves, pressing firmly but gently. Now very lightly spread the exposed surface of the wheat bread with mayonnaise, and divide the chilled shrimp mixture among them, spreading it evenly.

Finally, very lightly spread the remaining 4 white bread slices with mayonnaise. Place these slices, mayonnaise side down, on top of the shrimp and press firmly but gently.

Place all of the sandwiches on a baking sheet. Dampen a light towel, wring it out well and drape it over the sandwiches. Place a flat object on the sandwiches and then place a weight of 1-2 lb (500 g-1 kg) on top. Refrigerate for at least 1 hour, or for up to 4 hours if the weight is removed after the first hour.

To serve, using a serrated knife, carefully trim away the crusts. Slice each sandwich into shapes. Serve immediately.