Steve's Conscience has appeared to him twice to advise him, once in Comic 7 and once in Comic 66. In Comic 7, he appears as a Shrimp, Mario, and Frankenstein's Monster. In Comic 66, the shrimp is alone. The Conscience's advice, however, is usally pretty bad.
The Shrimp can be seen touting tiny horns on it's head and carrying a small trident. Also note the fact that he makes a small roar while appearing with a PFOOF, this makes him similar if not identical to the character Satan, leading me to believe the shrimp is really Satan in disuise.
How he fits in such a small costume is beyond me.