Trim the pork fillet of any excess fat and then cut into 2-cm cubes.
Place the meat in a large mixing bowl and add the pimenton, cumin, some black pepper, oregano, thyme and garlic.
Mix well, drizzle over the olive oil and leave to marinate for at least an hour, but anything up to 2 days is fine.
Meanwhile, make the mojo picon.
Start by frying the bread in a little olive oil, drain on kitchen paper and tear into pieces.
Using a pestle and mortar, mash together the garlic, cayenne chillies, cumin seeds, pimenton, fried bread, vinegar and salt until you have a smooth paste.
You could also use a food processor for this bit.
Start adding the olive oil in a thin drizzle while you are still mixing.
When you are ready to cook the pinchos, thread the meat on to skewers (if you are using wooden skewers its a good idea to soak them in water for 30 minutes to stop them burning).
Pinchos morunos can be cooked over charcoal (the best way, in my opinion), under a hot grill or in a griddle pan over a very high heat.