it sounds like you're between a rock and a hard place. lhr-man at that price is only worth doing if you're definitely doing the cx man-ams/cdg. if not, then you should either do lhr-arn on ba & arn-hel on ay OR lhr-mad on ba and mad-anywhere in spain on ib.

points for ay.

1. arn-hel runs about $190US return sat nite stay.
2. i put in different ff numbers at check-in for each segment, no problem with tracking.
3. hel isn't that bad in comparison to arn. in fact, i find the people much friendlier.

points for ib.

1. you can buy one way y class tickets for about $100-110US to most cities in spain from mad. c biz class tickets run around $115US. i'm going to sevilla on a c class on friday because that's all that was left. no issue on whether these count for miles on all carriers - THEY DO!!!
2. since they are single segments no problem flying on the same day, hence no surcharge.
3. accomodations in spain have got to be cheaper than anything in britain.
4. if you want to partake in the the spanish nightlife, it goes well into the morning with some clubs that open at 7. i've known some people (no names) that don't even find the need for accomodations. (this only works if you really can sleep on planes!!

i don't think you can get as reasonable pricing that qualifies on ib flights from outside of spain. if you could, maybe paris would be an option. that would maybe allow you to do the ba-cx-ib option, but probably not. i think you're right though, 4 sound about it. anyway, hope this helps.