As Susan said, contracts and payslips should come as standard anywhere in the world. That's not to say of course that all employers play by the rules. However, I would refuse to work for anyone who couldn't (or wouldn't) provide me with a contract or payslips.
FYI, if you change employer in Spain within a single tax year (Jan-Dec), you are legally obliged to complete a tax return the following year, for which you will need to have copies of your payslips. Note that doing the return is YOUR responsibility rather than that of your employer(s).