Ouch! The sun is not always shining on Costa del Sol. The winters can be really cold an moist. Like last Sunday when snow fell in the Mijas mountains just a few kilometers away. (Image from Mijas Comunicación) The temperature here at beach level was maybe 5-7 degrees Celcius so no snow here (unfortunately for the kids), but believe me it was really cold.
I must say, coming from Sweden I think I have been freezing more here than I did in Sweden. Why? Well because the houses here usually have no insulation whatsoever, apart from new houses. Electricity is expensive so you end up paying a lot, burning propane or fre-e-ezing.
So looking at houses or apartments down here, check for insulation. You might also want to look at ways to remove moisture in the house or apartment using a solar heated ventilation. There is a Danish product called Solarventi that uses solar heat to warm up air and blow it into the building. A very efficient, economical and environmentally solution to improve indoor climate, although depending on size, it might not be enough to heat the building completely. If you are going on vacation, make sure to bring some warm clothes just in case.
On the plus side, even winter time, clouded skies rarely last more than a day and then you can always lay down and let the sun heat you up. Just the opposite of what I was used to, but feels good!