Since my friend is back from his holiday in malaga, I asked him about recommendations to dance salsa. Here are his suggestions:
Sat: Candela in El Palo, Calle/Aveninda Juan Sebastian Eleano
Wed/Fr: R'n'Beach in El Palo, Calle Bolivia ca. 145
Daily: El Picaro del Habana near the cathedral
He recommended going to the last two places for dancing salsa. So hope you have some nice time there and report how it was.