Rodolfo, according to my Rick Steves' Spain 2008 book, "The train station has luggage storage on the platform (€3/small locker, €4.50/large locker, token machine at lockers)." I tried looking on the RENFE site but didn't see any information, so I emailed them. If I get a reply I'll let you know. Last summer in Sevilla we left our bags at the train station while we walked around the city for a few hours, so I imagine Granada has similar facilities. Also, it's pretty likely (but not guaranteed) that your hotel would let you leave your bags there, too, especially if it's a nicer hotel.