In Málaga enjoy arty sophistication before heading into the wilds. Of the city’s many museums and galleries, the Carmen Thyssen, the Picasso Museum and the Contemporary Art Centre cover the classics and the surprising. The Muelle Uno complex on the harbourside is a nice, glitzy place to browse white clothes and drink wine by yachts before walking east along the seafront to Playa de la Malagueta for a swim. (For those …