Hi, duds,
There is also supposed to be a pension in Colmenar el Viejo. There are signs for it, and it appears in the guides. But I haven't seen a post from anyone who actually found a way to get inside it. I remember standing in front of the building with a sign for the pension on it, calling the number on the cell phone, and speaking with a woman who tried to direct me to a different building that I couldn't find. I wound up going into the library and getting help, with the advice being to just go to the hotel. It's the Gran Hostal El Chiscon, B&B price was 44 euros, my notes say.
I met some Spaniards in Manzanares el Real who had decided to take the RENFE Cercanias train from Madrid to Colmenar el Viejo, and start walking there to avoid the hotel cost. It's the commuter rail system and trains run very frequently from either Chamartin train station or Atocha (and a few other intermediate stops), depending on where you are in Madrid.
Walking from Colmenar, it's an easy 15 or 16 kms to Manzanares, very pretty in the spring, so that would be a good first day option as well. And make sure to visit the castle in Manzanares, it is a real wow-zer.
And just one last thing -- the distance from the Plaza Castilla (north side of Madrid) to Colmenar is 27 kms and it is very easy walking. The guides that list a much higher distance to Colmenar use the church of Santiago in central Madrid as the starting point.
Buen camino, Laurie