I m afraid that is very much the trend with budget airlines, they will fly you to many places with hand luggage for very resonable rates but if you need to take luggage or golf clubs they are starting to charge the earth. Not sure what other airlines are charging but may be worth checking if you have alternatives.
We have taken old sets of golf clubs over to Roda to leave in the store room for friends, not ideal if they are fussy about clubs or alternatively you can either hire clubs from Roda at 25 euros per day or locally for about 20 per day.
Golf clubs to purchase in Murcia are generally more expensive than deals available in UK and some online UK dealers may well deliver to Spain for an extra charge.