Add the rice to the pan and cook, stirring, until golden, about 3 minutes. Stir in the warm stock, crumble in the saffron and add a large pinch of salt. Add the chicken thighs and chorizo. Cover the grill and cook until the stock has reduced to 2 cups, about 12 minutes. Nestle the lobster pieces in the rice, cover the grill and cook for 3 minutes. Arrange the shrimp, clams and mussels in the rice, cover the grill and simmer until the chicken, shrimp and lobster are cooked through and the clams and mussels are open, about 10 minutes longer. Discard any shellfish that don't open. Spoon the paella into shallow bowls and serve piping hot with lemon wedges.