Update:Thanks to Alan Horan for helping us get closer to identifying this beastie - it is a species of Spoonwing or Nemopterid.
Apparently one of the characteristics noted in the field when it was seen was that it appeared to be 'dancing' - reminiscent of a Madeiran Petrel dancing over the crest of a wave.
Double Update!Thanks to Brian Nelson for the following:
"The insect featured today is probably Nemoptera bipennis. It certainly occurs in Spain although there may be other species."