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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."