We travelled the same route as yourself two years ago . My advice is you need to book your tickets in advance . you need to go to Alicante station to book , don't know aabout first class as we travelled ordinary . believe you me the train service is excellent compared to the uk . the train you need is called the TALGO and it leaves dead on time . if , for any reason, you need to alter your journey you will need to go to the main station i.e. alicante or madrid and most of the ticket- sellers do not speak very good english . fair comment as most of the english visitors don't speak any Spanish. You can buy snacks on the train -spanish style & the journey takes about 4 hours if i remember correctly. It is pretty difficult to change your ticket once booked so i would be certain about the time i want to travel Enjoy yourself Madrid is a lovely city to visit