I almost never take hold baggage to MAD these days. I invested in a really nice Briggs and Riley cabin bag which is the largest BA will permit, and has lots of clever space saving stuff also. It'll go in the overhead bins even of the little Embraer 190s when there used to be a daily LCY option.
Between that and my laptop bag I can do a 4-5 day trip relatively easily with a bit of forethought in the packing. Which is usually the longest I want to be in Madrid anyway ;-)