The strategies for developing vaginal microbicides to protect women against human immunodeficiency virus (HIV) sexual transmission are constantly changing. Although the initial dosage forms required daily administration to offer effective protection, the trend then moved towards sustained-release dosage forms that require less frequency of administration in order to improve women’s compliance with the treatment. Nevertheless, another possible strategy is to design on-demand products that can be used in a coitally-dependent manner and only need to be administered immediately before intercourse to offer protection. Vaginal discs based on freeze-dried hydroxypropylmethyl cellulose gels have been developed for this purpose, containing two surfactants, i.e., sodium dodecyl sulphate and polysorbate 60, alone or in combination with 2-hydroxypropyl-β-cyclodextrin, to achieve a formulation capable of incorporating both hydrophilic and lipophilic drugs. Several studies have been carried out to evaluate how the inclusion of these substances modifies the structure of gels (viscosity and consistency studies) and the porosimetry of the freeze-dried discs (scanning electron microscopy micrographs, mechanical properties, swelling behaviour). The drug release and mucoadhesive properties of the discs have also been evaluated with a view to their clinical application. The systems combining sodium dodecyl sulphate and 2-hydroxypropyl-β-cyclodextrin were found to be adequate for the vaginal administration of both Tenofovir and Dapivirine and also offer excellent mucoadhesion to vaginal tissue; these discs could therefore be an interesting option for a coitally-dependent administration to protect women against HIV transmission.