Hi dragon, glad you like my hometown…
TBH I wouldn’t probably go on holiday there but I wouldn’t say Fuengirola is a sh*t hole, definitely not. It’s not what I look for when on holidays but it has decent beaches, shops, very good restaurants, good trails and friendly people 😉
Obviously if you stay in hotel drinking by the pool you won’t see any of this. Malaga is very close and has plenty to see and do, even Cordoba and Granada are doable day trips.
Hora if Sierra is full you can do what Mackem said, or even do your own thing if you are handy with a GPS, it’s not that difficult really and I could help you with GPX files. when are you going? There are other companies in the area I think (Switchbacks, Thebikeshuttle/RideMalaga…) You would obviously have to climb a lot more going on your own…