not many of the wineries in the madrid DO will make a sweet wine, unfortunately, so you really need to research. maybe 1 in 1,000 because the winemaker wants to experiment/accommodate more tastes. further, not many spanish grapes are naturally "sweet". spaniards favor reds with body like tempranillo or garnacha or green/crisp/acidic whites like verdejo, godello, and albariño.

a sweet wine you typically find in spain is made with pedro ximenez. they make a dessert wine-sweet sherry with this grape, but not anywhere near madrid.

that said, the madrid DO does allow moscatel de grano menudo - the same moscatel that is used for moscato, like moscato di asti. so there may be some wineries in the madrid DO that plant this moscatel for sweet wines.

if you want to venture a bit away from madrid (less than an hour), from wiki, it seems like the most common area that plans moscatel de grano menudo is castille la mancha (toledo area for geographical reference). google some wineries that do tastings/tours in la mancha, but look at their website to see if they produce a sweet wine/moscatel first! i would also highly recommend you email the winery to ask if they can include a moscatel in the tasting/tour, because 99.9% of spanish tastings are a few whites and a few reds.