Trim dead ends off of the leeks, and peel off any old pieces. Clean leeks thoroughly to remove any dirt. Cut the leeks in half lengthwise and put on a cooking sheet, sliced side up. Drizzle with olive oil, salt and pepper, then turn and do the other side. Place the leeks cut side up on the grill. Cook until they start to char in places. Turn the leeks over and cook on the other side. When leeks have a good amount of char marks, take them off the grill and wrap in parchment paper to steam and soften them a bit more.
To make the romesco sauce, place cashews and the next 6 ingredients in a blender or food processor. Blend until smooth. Season with salt and pepper.
To serve leeks place on a tray in the center of the table, with individual plates for each guest, and a bowl of romesco sauce. Serve as an appetizer while enjoying 2017 Mediterranean Vineyards Tempranillo.