You could try these options depending on the context:
* Leave it as "Malcolm": This is perfectly acceptable, as many foreign names are used in Spanish without translation.
* Use a similar-sounding Spanish name: Some suggestions might be "Malcom" (with an "o" instead of an "a"), "Manel" (Catalan name similar in sound), or "Malco" (a less common but similar-sounding name).
* Translate the meaning of the name: "Malcolm" means "devotee of St. Columba." You could use a Spanish name that signifies devotion, like "Devoto" or "Fidel," but this would lose the specific reference to Columba.
Ultimately, the best option depends on the specific situation.