Hi - to be self-employed in Spain you need to be Autonomo, regardless of whether you earn a penny or not. This is one of the reasons so many people work "on the black" as many people don´t earn enough to pay the Autonomo fees. You also need to pay an accountant as the system is complicated and any mistakes are penalised.
I´m afraid I don´t know about whether one can be autonomo and the other employed by them, but I think you should speak to an accountant to check out if there are any options.
Pitby is right, there is a new scheme for NEW autonomos, which means you pay a reduced rate at the start, which then increases gradually until you are on the full amount. Sorry, but I don´t have the details but someone here should be able to advise.
Something which is often overlooked is that by paying into the system you get full healthcare, which is excellent in Spain, and it also contributes to a pension.
Spain is totally against entrepreneurship at the moment but I think this will change - it has to! You really need someone to guide you round the system and help you with all the paperwork to get yourselves started. Just be sure you have a good few years´ worth of cash in the bank before you start out! It is a hard slog at first but I feel that it is worth it as the quality of life here is wonderful.
All the best!