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Step 1
Prepare a large bowl of iced water and bring a large pot of salted water to a boil. Boil leeks until they start to soften, 3 to 5 minutes. Transfer leeks to ice water and let stand until cool. Transfer to a paper-towel-lined plate and pat dry.
Step 2
Light one chimney full of charcoal. When all the charcoal is lit and covered with gray ash, pour out and spread the coals evenly over the charcoal grate. Clean and oil the grilling grate. Brush leeks lightly with oil and grill over direct heat until they start to brown, about 3 to 5 minutes. Flip over and continue to grill until second side browns, about 3 to 5 minutes longer. Transfer leeks to a platter, season with salt and pepper, and serve immediately with Romesco sauce.