2 questions actually...
Can you store luggage at either train or bus station?
I'd like to go from madrid to el escorial briefly before I go on to 2 nights in Segovia.
As it seems I can't manage that without going back to madrid and then to segovia (alot of travel time)
does anyone know what a taxi from El Escorial to Segovia would cost?

I am not sure about that but I left my bags at the airport about 2 months ago and was really impressed with their new storage facility and how high tech and professional they were. I cant remember how much it cost but it was very cheap .. they xrayed and checekd everything and required your passport and secondary ID if I remember correctly.