Toss the chicken wings together with the oil and season well. Place on a baking sheet and bake in a preheated oven, 200°C (400°F), Gas Mark 6, for 45 minutes until golden and cooked through.
Meanwhile, make the romesco sauce. Place the almonds in a dry frying pan and toast for 3–5 minutes, shaking the pan frequently, until lightly browned. Leave to cool slightly, then place in a food processor and pulse until roughly chopped. Add the remaining ingredients and blend together, then season with salt and pepper.
Place the sauce in a serving bowl and serve with the chicken for dipping in and lemon wedges for squeezing over.