I don't have the charts for the approach into Malaga right now, but there are several possibilites:
Either use NAV or HDG mode for tracking inbound. On the other hand, there is no problem with arming the APPR/LAND mode if you are not on the 'platform alt'. The AP will capture the LOC, you can continue descent using LVL CHANGE or V/S as long as you don't capture the G/S from above. Should you come close to capturing the glide while still above 'platform alt', you have the option to increase V/S or to revert to the other modes I mentioned before (NAV or HDG).
The only time I really wished they had a LOC button installed is when flying a LOC approach.
Regards,
DBate