Preheat the oven to 180C/350F/Gas 4.
To make the lamb, heat an oven-proof frying pan over high heat. Rub the lamb with the oil and season well. Put the lamb skin side down in the pan and sear for five minutes, then turn over and cook for a further two minutes.
Transfer the lamb to the oven and roast for 15 minutes.
Remove from the oven, cover loosely with foil and leave to rest for 10 minutes.
To make the romesco sauce, put all the ingredients in a blender and pulse until the sauce has combined but still has some texture.
For the virgin paella, heat the oil in a large, heavy-based deep frying pan or paella pan over a low-medium heat and cook the onion for five minutes until soft and golden.
Add the rice and cook for one minute, stirring to coat. Add the wine and cook for one minute.
Add the stock and saffron and cook, stirring occasionally, for 15 minutes or until the rice is just cooked.
Season with salt.
Slice the lamb thickly and serve with the romesco sauce, lemon wedges, parsley and the paella.