If flying to Malaga airport, you can either rent a car or book transfer to Nerja. If renting a car, please note that you would not need it to move around as the town itself is fairly small and everything is within walking distance.
If you plan to visit the area, then it would be a great idea to rent one as there are beautiful places to visit in the area, like Granada, Ronda, Frigiliana, Malaga, etc.
Private taxis can cost between 70 - 90 Euros.
Shuttle / Private transfer (look at Travel Republic) can cost from 20 euros per person, depending on the time of the year and number of people.