Julian Cope's book, The Megalithic European, doesn't give directions to this site, but does say it's to the east of Montefrio. Using this little snippet of information we left Antequera and drove to Montefrio to find a hotel and hopefully some more information about Penas de los Gitanos. We found both, but we also realised that Montefrio isn't the easiest place to reach, especially if you're of a nervous disposition! The road from the motorway take you along mountain roads with 400m drops to the right and there are no barriers on the side of the road! One small note here: the whole site is known as Los Penas de los Gitanos (The Rocks of the Gypsies), but this is really the name of the settlement at the top of the site. The dolmens complex's proper name is the El Rodeo Dolmens.
If you decide to come here I would advise not going via Montefrio, but approach from Illora along the Montefrio road. While we left along this route a new surface was being laid and barriers were being erected.
Just west of the entrance to the site there is a well on the south side of the road. Here you may find a young Spanish girl whose job is it to keep an eye on the complex. Again they like to keep tabs on the numbers of people who visit the site and it can be a bit hostile up there, so it's best to let someone know you're there. She will also give you some good advice about how to find the monuments.
There are also guided trips some evenings, so if you're around for a couple of days it is very worth finding this girl, as she is the guide and can tell you when they are. There was one on the evening of our visit, but we were 400km from home and so could not stick around to attend, which was irratating to say the least.
The entrance is easy to find as it is well signposted at the road. You can park on the south side of the road and walk up the tarmac road. When the road bends to the left carry on past the boulders up the dirt track. After a short while you reach a quarry where you need to go left. This brings you to a wide plateau, which you need to cross and follow the track on the other side. Within a couple of hundred metres you will reach the first tomb (see fig. 1). This has a lovely square-cut kennel hole entrance, which is a feature of all the tombs here. 100m or so to the left of the track is a very ruined example (see fig. 2).
Shortly after these two monuments another plateau opens up and here you will find the best of the monuments (see fig. 3).