Getting to the Albéniz Theater in Madrid is very easy, as it is located in the city center and is well-connected by public transport.
You can take the metro and get off at Callao station (lines 3 and 5) or Santo Domingo station (line 2), both just a few minutes' walk from the theater. If you prefer to go by bus, lines 1, 2, 44, 46, 74, 75, 133 and 148 have stops nearby.
Also, if you are coming from outside Madrid and arrive by train at Atocha or Chamartín station, you can take the metro or the suburban train to get to the center. And if you decide to come by car, there are several public car parks nearby where you can park without any problem.