In this web you can find all the beaches in the Malaga province:
here. If you're going to Malaga city, the naturist beach is "San Julián", but you need a car in order to access to it. In Malaga, beaches have thick sand and are very rocky. The water is usually not cold (around 20-22ºC).
As I'm not from Malaga province (only have gone twice), I can't tip you any place to go.
Have fun!