I stayed at the Westin Palace for vacation over Thanksgiving last year. It is a fantastic hotel and yes, walking distance to a lot of great spots. Specifically Puerto del Sol, with a lot of great shopping, pubs and restaurants. My advice for dinner options is to go visit the concierge. They sent us to a few restaurants that were fantastic. One that was so good, we wanted to extend our stay just to go back and eat there again. I am checking on the name, I’ll get back to you. I’m a forgetful little girl.

Next to the Museum of Jamon is an Irish pub where I spent a night or two, great people and a fun crowd. On the weekend you must stop by the Corleone, (yes with a huge picture of the godfather inside) and just about any disco on that street. The weekends are so packed, anywhere around that area is a great place for us single, 30 yr olds. And crawling distance from the hotel.
You also should go to Joy Eslava, a discothèque that is a lot of fun. However, pick your night based on your preferences. We ended up there when they had this big beautiful stage show with what I thought were lovely ladies dancing around. Oops, they were lovely, but not ladies. But wow it was quite a show and I have some terrific pictures. The crowd that night ended up as a mixed crowd, but it’s different each night.

Have fun and I hope you have practiced your Spanish, I found that we needed to have at least some basic phrases to get around outside of the hotel.