Halloween is recognised here now aswell, my children go to a Spanish school and they had a big Halloween party in the evening last year and we also had a few trick or treaters knocking on the door..

You may find a bar in Benalmadena that is holding a party.
I think last year they also had a big Halloween party in 'Plaza Mayor'
http://www.malaga-airport-guide.com/plaza-mayor.html

I've just had a look at the Spanish link for it but can't see anything advertised for it yet, I'll let you know if there is one..

Thanks so much for any info.
The children love Halloween and will defintely want to pack their outfits!

There's a fancy dress shop in Arroyo just above Benalmadena which will have a good selection of costumes to dress up in.