I lived in Spain for a couple of years, some while back, and can tell you that what you're experiencing isn't unusual. It would be a good idea to have a word with your neighbours, because cockroaches are gregarious and where there's one, there should be lots more. There are some flying insects, which are a bit of a problem in summer, because they seem to hide in the shutters and freak you out when you close them, at night. They are very similar to what you've described, but are along the lines of the British June Bug, that cling to the carpet, if you're not quick enough, when picking them up.
On the whole, though, I agree with Cheeky Chops, about moving. It looks like your best option.