In the UK it is generally accepted that when you mow your lawn, you always collect grass cuttings. These are then put onto the compost heap and once decayed, used to top dress lawns or applied as a mulch for other garden plants.
This is also true in Spain, except if you purposely want to put the cuttings back into the soil to increase its pH or for ecological recycling reasons.
There are however two things to remember if you want to recycle grass cuttings:
1) Leaving the collection box off the lawn mower will also put back into your lawn any unwanted grass seeds or weed seeds.
2) If your grass cuttings are large or the quantity is large (i.e if your grass is too long or has been left too long between mowings), the grass cuttings may kill patches of your lawn, by choking out the light.