Place the saffron threads into the stock and allow to stand for about 30 minutes to infuse.
Heat the oil over medium heat in a paella or large frying pan.
Gently cook the chorizo until it begins to brown, then add the onions and peppers. Cook for 8-10 minutes until the onions start to soften.
Add the garlic, thyme, bay leaves, and paprika. Cook for 1-2 minutes until the garlic has cooked out its harshness.
Stir in the paella rice and stir to coat with all the other ingredients, then deglaze the pan with the sherry or white wine.
Add the infused stock and bring to a boil. Reduce to a simmer and cook uncovered for 14-16 minutes until the rice is just about cooked.
Lay the prawns across the rice and cover with tin foil or a tight-fitting lid if you have one. Cook for another 3-4 minutes and then remove from the heat and allow to stand for 5 minutes.
Season to taste and serve with chopped parsley and lemon wedges.