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Close to Estepona there are a roman baths called "BaΓ±os de la Hedionda" (stinky baths, literally). To get there you have to have your own vehicle or find a local transport to Manilva (it's the nearest village). From Manilva you can walk (there are some interesting trekkings around there) or go by car.
If you have a GPS go to: (WGS84) 36.396483 -5.2614660
If not, in Manilva, just ask for "Camino de los baΓ±os" (a nice paved road to the place you are looking for).
Please, note that usually the bathers don't use swim suit here, it's not officially a clothes optional place, but nobody cares about if you have or not your swimsuit. So be tolerant.