I fly this route often and in fact am off to Madrid this weekend. Advice above is sound and I would add the following:

IB fly out of both T3 and T5 so I am leaving out of T3 (CX lounge for me) on the 1845 A330 which, in this instance, does not have Prem Eco and coming back on the 0800 A330 (which does have Prem Eco seating) which lands back into T5 which is better for me as I have an onward BA connection also out of T5. Therefore, do check which flight goes to/from which terminal in case you want to either use a different lounge or have an incoming or outgoing connection. Also, recommend sitting at the front of Y going to Madrid as passport control can be a pain so best to be first off.

Also, a big hassle for me that happens nearly every time is that you have to call IB to get a seat assignment if you have a mixed itinerary. I usually am coming in to London from the Middle East on BA then IB to/from MAD and BA back to DXB, RUH etc. Despite MMB transferring me to the IB site or even if I go to the IB website myself and use their own record locator - it never works. This last time I called and got some idiot IB person who said it was not possible to assign seats and I could do it at T-24, he also refused to transfer me to his supervisior. So I rang BA (who's ticket it was anyway) and they told me that on thier systems 80% of the seats were blocked and the best they could offer me was row 29 (EF showed 80% of the plane as being empty with none of the traditional X's indicating blocked seats) . So I then rang back IB and got an agent who knew what he was doing.

He told me they were well aware of the issue booking a seat online and the issue was that when a seat has been assigned then in order to change the seat the first seat assignment has to be cancelled off the system in order for a new one to be allocated. This is not possible to do online so you have to call in. He was able to do it very quickly and now I have and the seats I wanted (bulkhead Eco and row 11 for Prem Eco sold as Y). They were available and allocated as per what was showing in EF so no idea why BA saw them as blocked - so much for all the Oneworld "seamless travel" claims