How to Make It
In a small bowl, crumble the saffron in 1/2 cup of the warm water and let stand for 10 minutes. Meanwhile, heat the olive oil in a very large, deep sauté pan. Add the onion and garlic and cook over high heat, stirring, until lightly browned, 2 minutes. Add the fregola and chorizo and cook, stirring, until the chorizo releases some of its fat and starts to brown, about 2 minutes. Add the tomatoes, white wine, saffron and its soaking liquid and the remaining 6 cups of warm water to the sauté pan and bring to a boil. Stir in 1 1/2 teaspoons of salt and 1/2 teaspoon of pepper, cover and cook over low heat until the fregola is very chewy and soupy, about 10 minutes.
Season the shrimp and red snapper with salt and pepper and add them to the pan along with the mussels and cockles, nestling them into the fregola. Bring to a boil. Cover the pan and cook over low heat until the fregola is al dente, the fish is just cooked through and the mussels and cockles have opened, about 12 minutes longer.
Remove the pan from the heat and let the paella stand for 5 minutes; the fregola will absorb a bit more of the liquid, but the dish should be a bit brothy. Discard any mussels and cockles that haven't opened. Sprinkle the fregola with the chopped parsley and serve right away.