Put three slices of chorizo on each scallop then add some cheese and roquette on each. Roll up the scallops and press gently. Tie them up to make sure they remain closed when you cook them.
Heat some olive oil in a large pan and cook the scallops for 8-10 minutes on medium heat. They should golden on each side. Add the onions and cook until golden as well. Season to taste and serve immediately. I usually eat this with pasta or a salad.