As a BA Gold ou would be able to use the excellent (and recently renovated) Velázquez lounge in MAD T4S before your onward BA flight to LHR.
If you chose an IB service to LHR other than the A330/A340 you would use the the Dalí lounge in T4 instead.
Do also consider easyJet and other LCCs which fly MAH to LGW.