"I have a thin cashmere throw that I can keep warm with on the plane or that I wrap around myself when I go out at night. Hermés makes a super thin one and it's nice and big, too."

What do you pack for Madrid?
"Since it's a mild climate, lots of jeans and boots and
blazers and stuff like that. It can get really warm during the day and chillier at night. It's a pretty casual city. Unless you're going for a wedding or specific fancy occasion, you don't have to bring anything too formal. At night, I'll wear a skirt or some nice trousers and a pair of high heels."

What's always in your carry-on bag?
"A couple of books, depending on what I'm interested in."

For example?
"Right now they're all baby books: The Contented Little Baby Book, On Becoming Baby Wise, and The Happiest Baby on the Block. There's another one called Trees Make the Best Mobiles, which is a great book about how to raise your child in a cool way. I also have the iPod and a tube of eight-hour cream, an old Elizabeth Arden product. It's sort of like Vaseline, but not. You can put it anywhere. It's really good for traveling. And I'll have Bliss, from the spa in New York, but they sell the cosmetics everywhere now. They make a very lightly tinted moisturizer with sunscreen in it."

Where Gwyneth Paltrow mixes and mingles in Madrid

AC Santo Mauro

very expensive,

Hesperia Madrid
very expensive,

Casa Benigno

paella, very expensive,

Casa Lucio
Castilian, expensive,

El Landó
Castilian, very expensive,

Juana la Loca
tapas, moderate,