if you shop at one store and spend about 175 Euros on it you can get a refund.
you can read this site for more info worldwide and specific of Spain.and yes you keep all the receipts for customs but for example in El Corte Ingles there is a service that would do the paperwork for you if you do the shopping there.
http://www.globalrefund.com/default.asp?viewSiteId=8
hope it helps