hola jeorge. you should be able to get everything you need right in the center. of course you can do it all in one swoop througn El Corge Ingles located right in the shopping area off of Sol. Wine would be in the basement grocery area and the sweatshirt...well you'll just have to ask someone! Also there is a great little wine shop on C/ Echegaray, next to the flamenco bar El Burladero. I dont' have the address but Echegaray is about two blocks long so you should find it no problema.
Good luck and have a great Madrid trip!