Like febe and esteban I cannot comment about an alarm system; I know there is one National company who advertise on Spanish TV; the cost runs out at 99 Euros initially then about 1 Euro per day, making the overall cost in the first year something in the region of 450 Euros...which strikes me as being rather expensive. Especially as you would still have to cover the cost of building and contents insurance. But...do you really need a burglar alarm? The presence of a box outside the house is normally an advertisement that there is something within worth stealing...and may act as a temptation...
If you are over here full time (and this is just my personal opinion) it's a waste of money and if you are going to use the property as a holiday home theres not a lot you can do in the event of a break-in if you are 2000 Kms away! Inland areas are generally trouble free and the neighbours will look out for you.
But if it gives you contentment or peace of mind then fair enough; personally, I've got 4 dogs... !!!!!
On the subject of heating; we have a wood burner and at times its like stoking the Flying Scotsman and about as expensive too. Unless you can get a contract with a supplier you are likely to be paying around 3 to 4 euros for 10Kgs. and you can easily burn that in a couple of hours.
However...he are a couple of links to wood burning stove suppliers...this one is UK based, this one in Spain on the Costa Brava South, both have been extremely helpful to me in the past.
Also, there is a company that advertises in one of the Granada freebies that might be able to help.
They are here. Don't know anything about them but they do specialise in pellet fires. We had a Spanish architect visit our house on a totally unrelated matter and when he saw our wood burner, he suggested going over to a pellet burning and it seems there are grants available for people in Andalucia. We haven't investigated this so cannot comment...
Hope this helps a little.