How do you all deal with the heat - despite flying in in September I’m still seeing 97-99 degree days. 
When I was in Madrid I was happy to see 95-97 degrees because back home in California was 109 while I was there. Walking between all the buildings and staying in the shade makes a huge difference and easily walkable at all times of the day.
Siesta?
Yeah I’m thinking of visiting Segovia and San Lorenzo de El Escorial.