If you're really interested in high-end clubs, be ready to pay for it, The Ocho y Medio has a solid reputation, but that reputation comes at a price. If that's no concern, then be sure to check it out and enjoy your time. When it comes to night clubs in Madrid, you'd be hard pressed to find a place that can beat the Ocho.
You'll probably be fine. Just don't look like an obvious tourist so don't take pictures of everything in front of you while there. Like all big cities there are bound to be thieves so keep an eye on your stuff.