In a big city way, all in the same general location. The Adriano would be about a 10 min walk from the Josefina, I don't know the other hostal, but the Prado would be about a 20 min walk from the Josefina.

It really depends on what you want to be close to, what your main interests are. The other recommended hostal puts you MUCH closer to all the art museums, they are mostly central located within a few blocks of each other, as well as Retiro park, Atocha station. The Adriano or the Josefina puts you much closer to Plaza Mayor, Puerta del Sol, the Palace and I think a little more shopping. Again in a big city way, everything is close and easily walkable, with any of the selections you will be close enough to walk. Anything that is a bit further out is easy to bus or metro to.

When you get there, one of the first things I would get is a 10 trip metro card, good for both bus and metro. I'm not sure where all you can buy them, but I usually get them in a metro station.