When I lived in Madrid I didn't own a winter coat. I couldn't fit my Chicago winter "Nanouk of the North" parka in my suitcase, so I used a London Fog trenchcoat with a zip out lining and lots of sweaters. I also wore gloves and a scarf. Now I live in Tucson and can tell you that in the winter when the high is 68, you must remember that there is a LOW of perhaps 35! You want to check the range of temperatures in Madrid to see how cold it can get!
I have to pack for a trip to Kosovo (of all places!) and plan to take a silk t-shirt, cotton t's, long-sleeved poly blend shirts, sweaters, and a fleece jacket. That way I can add or subtract layers as the need arises. I will only pack pants for this trip because I am not going anywhere fancy, but if I were, I'd also take a basic black dress or a nice skirt that I could spruce up in. Of course, bring an umbrella!
I hope this helps! Have a great time!