Steep the saffron in a small bowl in the hot water and reserve. Prick chorizo or sausage all over with a fork. Place it in a medium skillet with enough water to cover it. Bring to a simmer over moderately low heat and simmer for 10 minutes. Drain and slice into ?½ thick rounds. Pat chicken thighs dry. Heat the olive oil in paella pan. Add the chicken and sauté over moderately high heat, turning, until the chicken is brown all over and nearly cooked through (about 20 minutes). Transfer to a plate. Add shrimp to pan and cook, tossing, 30 seconds. Remove. Add lobster tails and cook, turning occasionally, until the shells are red and the meat is slightly firm (about 6 minutes). Remove with a slotted spoon. Add the onion, bell pepper and garlic to the paella pan and cook over moderately heat until softened, about 5 minutes. Stir in the rice and cook dry, stirring, until translucent, about 4 minutes. Add broth, bay leaf and saffron liquid. Bring to boil, reduce to low. Cook, stirring occasionally, until rice is tender on the outside but still chewy in the center (about 17 minutes). Stir in the peas, tomatoes, salt and pepper. Bury sausage and shrimp in the rice. Arrange chicken around the rim of the pan. Push the clams and mussels into the rice, hinges down. Set the lobster tails on top of the rice with the shells facing up. Bake for 30 minutes (at 350°), or until the rice is tender, the chicken is cooked through and the clams and mussels are open. Remove from the oven, covering loosely with foil for 10 minutes. Garnish with lemon wedges and serve directly from the pan.