Well, to be honest I'm not an expert on this subject - it may pay to get a book on moving to Spain (maybe someone else can help here?)
I understand that as soon as you get accommodation here you have to apply for a resident´s permit. Apart from that, as a UK resident you are entitled to work in Spain. Point is you may need to decide whether or not to work self-employed or not (particularly if you get into the DJ-ing scene). Again you need to have good advice/research.
By the way, be prepared for cold and wet days in winter. You will not be wearing shorts and t-shirts in a Madrileño winter. There are apparently ski-resorts not too far away so if you like ski-ing you may be in luck..

Hope this has been of use...