I was in Benalmadena last November. The Allay Hotel is toward the back of the resort with a fairly busy road between it and the marina. Definitely head in to Malaga city on the local train for a few euros. You can hop on the train at the Arroyo area after purchasing your ticket from a machine or from the ticket desk at the station. When in Malaga head for the Old town for shopping restaurants etc. Back in Benalmadena down at the seafront, near McDonalds there is a shop that sells incredibly cheap booze and cigarettes/cigars. Benalmadena Pueblo is a beautiful white village above the Arroya, a taxi there will cost about €5. Get the bus back for €1.
You can also get a bus along the coast to the various other towns for €5, Marbella, Fuengirola etc
When you arrive at the airport, don't bother with a taxi. Get the train from the airport direct to Benalmadena for a couple of Euro. The train station is through the multistorey car park at the airport, over the little pedestrian bridge at the back of this carpark. This will drop you at the Arroya then walk back about 15 minutes to the Allay.