While you were going off topic, I have found out more information about convent pastries.
At
El Torno Joaquín María López, 28 (91 543 38 00) you can buy pastries from more than 40 convents throughout Spain.
There is another shop like this in Madrid but I'm not sure about the address. I think it's at calle Factor. Does anyone know about it?.
Regards,
Antonio
PS: BTW, there is another shop in Seville as well.
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The best tips from your favourite hostal in Madrid.
Hostal Chelo at
http://www.chelo.com