OC Bobby -
I'm not sure how you are routing the flight, but I checked into airfare from Madrid to Rome, and I found round-trip for about $100/person. If you do the flight into Madrid versus flying directly to the Costa del Sol, you may find cheaper fares. Once in Madrid, it's just a matter of catching the train or bus. You didn't mention how much time you wanted to spend in Spain, but I would think driving from Madrid to the Costa del Sol would be a great option for a family with kids, not to mention a great way to see more than just Marbella.)
Pookita