Jmp I was just browsing and came across your post. Noticed it was unanswered. Don't know if you've got fixed up. I am using Asfic Gestoria in Benidoleig. (Beside the supermarket behind Sabadell)
I have my appointment at the "extranjeros" police station in Denia tomorrow morning. You need an appointment (they can make it for you)...
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Docs are passport, NIE, proof of income/funds certificate from your Spanish bank, health insurance certificate with the correct wording, plus the application form itself. All originals plus copies.
I'm sure it's possible to do this yourself if you speak Spanish and can download and print the application form.
Hope this helps. (Was in Orba this morning - looking great)