We found them!

Before going to Madrid, Mariona Estruga had talked about Barquillos, which are a typical dessert we can eat on the streets of Madrid. When we were in front of the Palacio Real, in the street we saw a "barquillero". I think they are expensive, but maybe we will not return to Madrid, so we decided to buy them. In my opinion, they are junk, but we really enjoy them. We think, as we said, they are like the Catalan dessert that is eaten in Christmas holiday in Catalonia, Les Neules.

(Lluís Espallargas)