A year or so ago I was in Vitoria-Gasteiz and had a chorizo tapa that I loved. It was a small piece of sausage that I cooked myself at the bar. They had a little pig-shaped holder that they poured some sort of high proof alcohol in the bottom, lit it on fire, and then I rosted the chunk of chorizo until it was cooked to my satisfaction.

Ever seen this in a bar in Madrid? Because it was fantastic!
OR>>>> any places that have a great (warm/hot) chorizo tapa that I should not miss?

I´ve never seen an opportunity to cook chorizo ... The only self-cooking place i´ve been to is a restaurant called Urogallo ( Metro Lago ) . Right by the lake where you cook your own steak .. absolutely superb .
In many of the Asturian sidrerías in Madrid you can order chorizo cooked in Asturian cider ... served with bread .. it´s really good !
We´ve cooked chorizo ( picante ) on the little BBQ we have on our balcony and we had some great chorizo at a bullfighting ranch in Navalcarnero ( near Madrid ) .. That was on a big BBQ with morcilla ( i´m drooling even thinking about it ) , chicken , some beef ... washed down with plenty of sangria before I went to the bullring . That small bull probably got drunk from the fumes , but it was fun I probably would not have stood in front of the bull otherwise .
So in summary , i´d say your best choice would be an Asturian sidrería for chorizo and there are quite a few in the centre of Madrid .

oh yes chorizo is glorious, get my original here from a spanish expat store. My father does it in an omelette , wonderful, you can do it in cider ,the Asturian way as Steve mentioned, but also in beer try Mahou ::)

Cheers