If you start in Malaga just follow the waymarkers ! At the end of the path is the albergueNo thank you! I'll stick to the Camino de Santiago.
So climbing gear is no longer needed.It seems the video above is of the old path.
Here is an article showing the upgraded works
http://www.theguardian.com/travel/2015/mar/27/caminito-del-rey-malaga-path-reopens-spain-hiking
Correct, no ropes or guides are needed.So climbing gear is no longer needed.