Whilst that does indeed work, the chorizo with the plastic skin is the cheap crap version.

Well, if this is Spanish-style (which seems so judging by the patatas bravas mention by the OP in a comment) then it's more likely that's aguardiente.

That said, you do make a good point that doing it this way does leave an flavour based on the alcoholic drink used (in my experience this method doesn't leave behind alcohol but can leave behind other flavours from the drink) that you don't get from grilling or barbequing

I just mentioned those other methods because with those anybody can do it at home and grilled chorizo is pretty good by itself.