Heat the oven to 400°F.
Place a paella pan (or other oven-safe pan that is wide and shallow) on the stove over medium heat and add the oil. When the oil is hot, add the sliced chorizo and fry it for a minute or two, until the oil becomes infused with its spices.
Remove the chorizo from the pan with a slotted spoon or spatula, and set it aside. The cooking oil should be a vibrant orange color at this point from frying the chorizo.
Add the onion, red bell pepper, tomato, and garlic to the hot oil in the pan to make the sofrito. Cook over medium heat, stirring occasionally, for at least 15 minutes or until the mixture has begun to meld together and caramelize.
Then add the rice, pimenton, saffron, and bay leaves to the pan. Stir the rice and spices together with the sofrito for about a minute.
Pour the chicken broth into the pan and give the mixture a brief and gentle stir just to combine thoroughly.
Turn down the heat under the pan to low. Then arrange the chorizo, chicken, and piquillo peppers into a colorful pattern on top of the soupy looking rice mixture and scatter the frozen peas over the top. (Or simply just stir everything gently, but thoroughly, into the rice and broth mixture.)
Place the pan in the oven and cook the paella for about 25 minutes or until the rice has absorbed all of the broth and is completely cooked through.
Serve immediately with lemon wedges alongside.