Rather than heading west from Málaga to the likes of Torremolinos and Fuengirola, go east to Nerja. Nerja is a pueblo blanco ('white village') with pretty houses and nice beaches, though it isn't free from the big hotels that blot the landscape all around this region. Alternatively, head a little futher to Motril. Both Nerja and Motril are within 1h30 of both Málaga and Granada.
If you do decide to stay in one of the usual Costa del Sol beach towns, you can take a guided tour to Nerja and Frigiliana (book direct).
Next beach >> La Barrosa, Andalusia