Pickups I get from Paul Bothner, SoundWorks and have ordered through StewMac as well. Electronics from Communica, Yebo or Mantech they all do mail order but I think should have branches in Durban (Yebo don't but are Cape Town based and specialise in mail-order) Wood from Rare Woods (The Cape has a off-cuts section where you can get guitar sized pieces) They also supply Indian Rosewood backs, sides and fretboards.
Hardware Centre is the best place for tools. Mica et al are expensive and only cater for the hobbiest. Hardware Centre have the real thing. I think they have a Durban branch.
Contrary to what ErikBojerik says, just about everything is available around here. The only thing I have trouble with is very specific luthery orientated tools, but then I drop into see Kevin at Southern Music and he is always helpful on sourcing tools. Electronic components seem easier to find in Cape Town than in some parts of the USA reading the comments some members have made.
Good Luck! If you're ever in Cape Town (like most of the rest of South Africa at this time of year) give me a shout and I'll show you some of my guitars and tools I've built.
Keith