Here's an extract from my trip report from our trip to Madrid in September 2002 (can it really be that long ago?)
We enjoyed a glass of something in the Cafe de Oriente in the square between the theatre and the royal palace one evening, and noticed that it had a wonderful deli attached to it in the side street (Carlos III). We had planned to be here the next day anyway, so bought a wonderful 'self-select' picnic form the sandwiches, rolls, pastries and cakes. The whole lot were beautifully wrapped on a board and off we went to sit under the trees of the square amongst the sleeping siesta people with our books (we are great readers) and our picnic. Wonderful.