I misunderstood that you could carry on bags for the flight to MAD. Yes, you can carry on anyway. You basically have to go directly past the check in desks no matter what. You will have to re-clear security and get your passport checked as you are entering Schengen no matter what happens. MAD manages this if you are going from T4S to T4 by just dumping you landside anyway. So just on your way up to re-clear security stop at the check in desk on the top floor and you will be good to go. It may add maybe 5-10 minutes to the entire process.

Either way, I would not pick up checked luggage to have to re-check it. Either your plan or an interline since the bags can take awhile to show up at T4 from T4S.