Preheat the grill to its highest setting.
Heat the olive oil in a wide heavy-based pan. Add the shallot, garlic and chorizo and fry until soft.
Add the wine and mussels, put the lid on and cook for 2-3 minutes until the mussels open. (If any of the mussels do not open on cooking, do not try to eat them.)
Remove the mussels from the pan reserving the juices.
Remove the top shells from the mussels and discard. Lay the mussels out on a baking sheet.
Add the sherry vinegar, thyme and salt to the pan and reduce to make a thick sauce. Spoon this over the mussels.
In a bowl combine the butter, breadcrumbs and cheese and add spoonfuls of this to the mussels and sauce.
Place the mussels under the grill until golden-brown and serve on watercress.
