For the migas, heat the olive oil in a wide pan over a low-medium heat. Add the garlic cloves and fry for a few minutes to release their flavour. Turn down the heat if the garlic is sizzling too quickly - it's very important that it does not burn.
Add the bread and bay leaves and fry gently for 20-25 minutes, turning and stirring often, until the bread and garlic are golden-brown all over.
Pour over the saffron and its soaking liquid and continue to cook for 5-10 minutes, or until the bread is crunchy again. Remove from the heat, season with salt and keep warm.
For the scallops, heat three tablespoons of the olive oil in a small saucepan over a medium heat. Add the onion and a small pinch of salt and fry for about 15-20 minutes, stirring occasionally, until golden-brown, caramelised and sweet in flavour. If the onion is colouring too quickly, turn down the heat. Drain off any excess oil and set aside.
Place another frying pan over a high heat and add the remaining two tablespoons of olive oil. When the oil is hot, add the scallops, seasoned with a little salt and freshly ground black pepper. Cook for 1-2 minutes on each side, until just golden-brown.
Add the softened onion, oloroso sherry and water to the pan, taking care as it may spit, and gently simmer for another minute.
For the mushrooms, heat a griddle pan until very hot. Drizzle the mushrooms with the olive oil and season with salt and freshly ground black pepper. Place on the griddle and cook for 1-2 minutes, or until charred and tender.
To serve, divide the mushrooms among four serving plates. Spoon over the scallops and their sauce and sprinkle over the crisp migas. Finish with a sprinkling of chopped oregano and sweet paprika.