Hi WaterWater,
Might recommend you spend at least 1 of your days in Malaga itself. I think it's a nice city (was there in September 2004), there's lots to see and do but I don't know what it's like in winter time.
If you're looking for somewhere to stay there, I'd recommend the AC Malaga Hotel (
http://www.achotelmalagapalacio.com/) or if you'd rather go even more up-market, check out the Hotel Larios (
http://www.hotel-larios.com/larios.flash/hotel.h.html). Both hotels are right in the centre of Malaga, close to the shops, night life, etc.
Another option is to stay in the Parador - a beautiful place above Malaga from where you can view the city. It was too expensive for us during the summer but may be more manageable in winter - check it out here: [broken link removed]
Picasso was born in Malaga - so a great museum and you can even visit his old family home. There's also a really great market there - similar to the famous one off the Ramblas in Barcelona and I'd recommend a visit even to check out the scary fish!
Sorry to go on, I had such a great time there last year it made me sad to think most people believe Malaga is just somehwere you fly to/from on the way somewhere else.
Enjoy your time in Spain.