If you look hard enough, there are good deals to be had, in places that are "central." I think the comment about "not knowing how you would sneak someone up" comes from experience.

In Spain with smaller hotels [hence cheaper prices normally] you usually leave the key at the front desk upon leaving....thus you have to ask for it when you go up. If you're coming up separately in order to save some $$$, especially after hours, you'll have "some 'splainin' to do" to the desk manager, who is usually situated in between the door and the elevator/stairs.

Just look hard and you'll find some cheap sleeps. We stayed at the Hotel Madrid and the Hotel Cortezo in Madrid for pretty good rates in 2002 and March of 2004...and I was happy at both places. They're both within shouting distance of Sol.