While you do not need to actually clear immigration at the airport, citizens of certain 'undesirable' countries will not be allowed to board the flight to MAD without a transit visa. In your case this check will be done at check-in in DFW. There are detailed rules about this which include various exceptions, and you should determine for yourself what rules will apply to you since I don't know your specific situation. (None of this applies if you are a US citizen.)