Second El Caminito del Rey, its one of my favourite things ever. We did it when it was newly opened and you could reserve online and do it independently but I think its been taken over by tour groups now, but it might be the easiest way to go from Malaga anyway.
I like the sound of the glass museum I might look that up. We're going to the area the week after, just me and DP who's doing his extreme down hill mountain biking which I'm too wimpy for, so I'm going to go on some nice walks and spend a couple of days in Malaga city too.
There's a botanical gardens on the northern edge of the city that's near a big lake so I'm going there one day.
As for recs for your family, it depends a lot what the teens like as a lot of what I like would probably be boring to them, eg I'm planning to go to the airport museum as despite flying in and out of Malaga many times, I've never had chance to go (it has displays about the history of tourism in the area so not just about planes).
There's also a big outdoor outlet mall near the airport.
Fuengirola has a skate park that they might like to see, it's next to a shopping centre. There's also a castle and you can walk by the river.
The city guide on the jet2 holidays website has a load of attractions on a map, I'm going to have another look at that before I go.
I also make a point of going to the tourist information centre early on in any trips where I need to see what's going on in a place, to pick up a map and browse the leaflets for inspiration.
But the city is nice to just wander around, seeing the sights like walking up to the Gibralfaro even if you don't go in. Plus there might be some fancy mega yachts or cruise ships to look at in the marina.