We will be in Madrid on May 15 and I know that is San Isidro day. Has anyone been? We are staying near Puerta Del Sol, so I'm a bit nervous about the crowds. I assume that will be a very busy weekend. Any tips? Any must see's for the festival? Hoping someone has some first hand experience.

"Has anyone been?" Yes.

If you're staying near the Puerta del Sol there will be activities (free concerts) on the Plaza Mayor, usually at 9:30 pm, and Vistillas Gardens next to the Royal Palace. There will be a mass at the San Isidro Colegiata church.
For the festival, check the explanation here on the Tourist Office web site
https://www.esmadrid.com/en/whats-on/sanisidro-madrid

In Old Madrid you will see folks dressed in the "chulapo" costumes.

The pastry shops, such as La Mallorquina on the Puerta del Sol, will sell the typical San Isidro sweets, the fried rosquillas, a type of donut. The "Tontas" are plain and the "Listas" are topped with a glaze of sugar and lemon. The Santa Clara ones have a meringue glaze. The Francesas have chopped almonds and sugar on top.

Where to buy them?
https://madridsecreto.co/en/doughnuts-of-san-isidro/

The pdf from last year was published by the tourist office but in Spanish only, and this year's pdf will be published in Spanish only on the esmadrid.com web site.

Now native madrileņo Revulgo can tell you more...