Hi Vic. Absolutely no hassle getting to the train station from Malaga airport. Luggage trolleys at the various carousels are free in the Arrivals hall, so park your case on one of them, head on through to the ground-floor area, get the lift a floor up to Departures, then head outside.
When you hit the sunshine, keep going right and you'll find yourself on the narrow walkway that leads to the unmanned station (seven minutes away). Get your ticket there at the automatic dispenser, and leave your trolley before heading up the small flight of stairs (no lift) to the platform.
Trains to Torremolinos and Fuengirola depart on the side you arrived at. The other platform is for Malaga.
Couldn't be simpler!