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Most wineries prefer reservations. It's even better to arrange tours to vineyards through your hotel, a tourist office, or a local tour operator. Tours are particularly good if there's a specific bodega you wish to visit or if you're traveling with a group and/or during the harvest. If you do head out yourself, don't be put off by security precautions such as a locked gate or a uniformed guard. The guards are there to help, and will call up to the winery to announce your arrival.