Few months ago I did it the legal way.
Climbers are allowed only from north entrance during working hours. You don't have to prebook or call. Just show up. For climbers entrance is free. We had to present our passports, alpine club membership cards (I showed FFCAM and my partner CAI) as well as gear. They wanted to see helmets, rope and harnesses. Didn't inspected, just the fact we had those.
After that procedure we had to wait for about 15 minutes for ranger. Suppose it depends on luck where the rangers are at the moment and who is free. Ranger turned out to be a local climber working for Caminito. We had a a good chat and rant about the gorge on the way. He led us to the path to Makinidromo and we were on our own. From the gate and to parting with ranger we had to wear our own helmets.
We were warned that we have to return before Caminito del Rey gates are closed. On other hand we were not checked or marked when leaving. Just walked out throw south gate. So they are not keeping track of climbers out. It opens possibility to return the other way or stay overnight. Or to get the other way and return by the footpath.
Once out I had to take a bus to northern gate to retrieve the car. My partner waited in El Chorro bar. Bus was 2 euros.
We did it the legal way mostly because we wanted to walk the new footpath and found it worth it. But I would not bother to do it again and would go by tracks on next visit.
P.S.: Worth to mention that all routes in gorge itself are now closed / banned. Anchors and bolts are not removed and I bet local climbers sneak in and climb early mornings and late evenings, but as tourist you need balls of steel for that. Maybe getting friendly with local rangers would prove to be useful
Post edited at 14:16