I went over to Aerodynamics last year to do some hour building and I stayed in an apartment in the centre of Malaga. It was a bit of a mission getting to and from the flying school as you have to walk along the road which is quite busy. My advice is either stay somewhere close i.e the b & b opposite, or if you are old enough to rent a car then do...it will save time and make the journey less painful
The people there are lovely though and all in all a good school. Be sure to fly along the coast to Almeria, it is a nice trip and fairly quiet.
Enjoy!