One other snag. By Spanish law you are required to carry ID of some description at all times. I don't, but if you are asked to show it by the police in the street, and can't, you may be required to stay at a police station till you can prove who you are. So make sure that it is accessible and not locked away somewhere. To do most things you will also need to show the original, eg. change money and so on. Carrying it with you does involve a risk, however. Muggings are becoming increasingly common in central Madrid. A photocopy is a valid option but it must be stamped by someone official - police for example, to make it legal. In short, I think the best option is to leave it with the hotel staff, which is usually a requirement anyway, and where it will be safe. If you really need it, you'll know where to find it. Have fun.