The police advice included reminders that users are they are in "the real world" and must be aware of real-world obstacles such as traffic lights and cars.
Players of the game from Japan's Nintendo Co Ltd walk around real-life neighbourhoods to hunt down virtual cartoon characters on their smartphone screens.
The police issued their guidelines after two Japanese tourists were rescued from a motorway tunnel in Barcelona on Saturday, where they had wandered in search of Pokemon characters, according to Spanish media.
The mobile game has become an instant hit just one week after launch.
Police warned players that the use of GPS technology for the game means users' location is visible to others, potentially making them vulnerable to muggings or theft, as well as signalling when they are not at home.
Across the United States, players have been drawn down dark alleys and into dangerous neighbourhoods in search of the imaginary creatures, only to be targeted by criminals.
The police manual warns players not be distracted by the excitement of catching rare Pokémon characters and to remember their safety is paramount.
Pokemon Go became available in Spain on July 15, following its release in the United States, Australia and the United Kingdom the previous week. The game has been a runaway success, boosting Nintendo's market share by $17bn in just over a week.