It can get cold in that area, and some of the surrounding ones, in Winter. I know that when I went in October we actually had snow flurries in Segovia. Of course, by afternoon, it had warmed up! And by the time we were down in Seville, it was h-o-t! So, I guess I'm saying pack for a bit of chill and warmer weather -- depending on where in Spain you're going.
Madrid is great for daytrips to surrounding cities, too. We based ourselves out of Madrid and saw Segovia and Toledo. We'd take the first train there and one of the last ones back.
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"Life is not measured in the number of breaths we take, but by the places that take our breath away..."