Hey Jo-Anne, jer here.
You may not know it but Madrid is a rather safe city, even at night.
As an "adopted local" but not a native one, I can tell you that there are a few ways to go.
At the south end of the Cava baja, there is a Plaza called "Plaza Puerta de Moros". You can make a left at the Plaza and walk up "Carrera de San Francisco" toward the Latina Metro station. At the next square, cross the Plaza and keep walking down the "Calle Duque de Alba", this then brings you through the "Plaza de Tirso de Molina" and if you continue straight you will be on "Calle Magdalana" which goes right to the "Ant�n Mart�n" Metro. A safe route as are most.
You can also walk up "Cava Baja" to the north end and make a right at the "Plaza de Puertacerrada". Then you are on "Concepci�n Jer�nima" which winds it's way to "Calle Atocha" itself.
Now that I think of it, take the kids with you to the bar and you can all go, they can protect you in the event you are approached by a mugger (unlikely as it is).
Saludos,
jer...
p.d. Maybe I will see you guys in the Plaza Mayor
- rent or buy a cell phone from me for your stay in spain, more info at 
- already have a cell phone, get a spanish SIM card for it at 
