I used to live in the Northern suburbs of Madrid (Alcobendas) and can recommend that you ride out to the Sierra Mountains to the North where there are a number of cols of around 1850 metres, only 55 kms outside of Madrid.
I have posted a couple of routes on bikely - see example below. This route starts at the foot of the Mountains about 35 kms outside Madrid, but can be easily reached by bike on the special bike-only cycle path that follows the Autopista out from the city towards the Mountains.
2nd climb in the above route was used a month ago on la Vuelta (Gesink was dropped on the climb).
Plenty of other variations in the same area with numerous climbs used in recent Vuelta.
One thing in Madrid to avoid is the cycle path that goes around the city (about a 60 kms loop). It is too urban / stop-go for a decent training ride.
Also, if you are going in February, take warm weather gear. It can be VERY COLD. You will still have plenty of snow on all the Mountains highlighted above.
Hope this helps.