The relax column. Btw, i'm talking about madrid here. Try the two main sex centers on the calle Atocha for that. At the Acuarela pub on the Paseo de la Chopera you can find wild swinging and trios. Men admitted alone except on Sundays.
Prices range enormously.
It is advisable to go to a brothel. Of course there are much cheaper brothels which still provide a decent standard of comfortability and cleanness. Reject them, enjoy the show and then go to a brothel or address directly the girl you want in the place and ask her how much. Something good about Madrid is the high standard of porno shows and big, luxury sex shops. Legal situation is unknown, but prostitution is accepted and daily papers have several pages with classified ads with explicit offers.