The first time we bought in Spain the lawyer came with us to the locksmith and he came and changed everthing the first day we completed.
On the Costa Del Sol the worst places are the ones that are overtly tourist areas. Thieves know that holidaymakers are easily distracted. They(thieves) are only interested in credit cards and cash and most of the car break ins are on cars with a hire sticker in the back. Another bad place for robberies are golf courses, its suprising how many tourists think it is safer to take all their moneyand cards with them and tuck it in their golf bag.
Worst places I have heard here for crime is fuengirola, Calahonda and Puerto Banus but this is my perception, could be wrong.