Before returning to your home country, you will need to complete as many forms as when you left. The easiest way is to contact the consulate where you are registered to sort out your own situation. A moving form attestation is often demanded when you pass the border (you can ask for it at your Consulate).
However, you can also follow similar steps described on Departure > Preparing for your move" or visit the peculiarities of repatriating in the article; "The Art and Science of Repatriation".
Some steps to take into consideration when moving are:
Along with shutting down your foreign house, you will need to prepare your next location. If this location is not your home country, you will need to follow many of the same steps from when you established yourself in Madrid.
Check out our other Easy Expat guides for details on your new location.
Update 8/06/2018
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