Put olive oil in a heavy-bottomed soup pot over medium-high heat. Add onions, season with salt and pepper and cook, stirring, until softened and beginning to brown, about 5 minutes.

Add chorizo and potatoes and stir to coat, then cook for 5 minutes, stirring. Add bay leaf and broth and bring to a boil, then lower heat to a simmer. When potatoes are nearly tender, about 10 minutes, add leeks and cook for 5 minutes more. Taste broth and add salt as necessary.

Add smoked sable and piquillo peppers and simmer for 10 minutes, then turn off heat to let flavors mingle.

Reheat soup to serve, adding chopped cilantro at the last minute. Serve with lime wedges for squeezing into bowls at the table.