Preheat your grill. And preheat your oven to 350°.
In a small heatproof bowl, cover the ancho chile with hot tap water and soak until softened, about 15 minutes. Drain.
Meanwhile, in a pie plate, toast the almonds in the oven for about 10 minutes, or until fragrant and lightly browned. Let the almonds cool, then coarsely chop.
In a food processor, combine the ancho with the almonds, toasted baguette, and garlic and process to a smooth paste. Add the tomatoes, roasted red pepper and vinegar and puree. With the machine on, slowly pour in the ¼ cup of olive oil and process until blended and smooth. Scrape the Romesco sauce into a bowl, stir in the parsley and season with salt and black pepper.
Brush the leeks with oil and season with salt and pepper. Grill over high heat until charred all over, about 3 minutes. Serve with the Romesco sauce alongside.
Notes
Marcona almonds can be found at Costco, World Market or in gourmet supermarkets. Use regular almonds if you can't find Marcona. You should attempt to find them though... they're amazing!
You can peel a firm-fleshed Roma tomato with a vegetable peeler. To seed the tomato, cut it in half horizontally, hold the tomato over a bowl, cut side down, and gently squeeze out the seeds and gel, coaxing them out with your finger if necessary.
Food & Wine suggests serving this with Spain's most famous sparkling white wine - Cava.