Here is a
link to the Spanish HDGD Association. I think they have clubs in Barcelona and Sevilla, but I don't know about Madrid. The website was made by our forum's own Castro Vicente, so perhaps you could PM him for more information.
I found this
link to a kendo club in Madrid. Kendo is far enough different to haidong gumdo that you will almost feel like you are starting over, but the club also offers kenjutsu and iaido. They practice sparring, forms, and (I think) cutting, so you can at least stay active and learning about the sword.
By the way, what are you studying?