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You can do it at the .co.za Domain Administration. http://co.za/
Yes.Can I do it online through them? (I haven't registered a co.za in years)
You download the application form (a text file), edit it in a text editor (NotePad if you use Windows), and eMail the completed application.
Yes.
You can have a look at http://www.zoneedit.com/ or http://www.mydomain.com/ both are free for DNS.
You will have to setup DNS first and wait for a hour or two for all the DNS servers to update before you can register on http://co.za/ .
That process rings a bell. Not what I was looking for though.
I don't think there is really another way if you want to register the domain yourself.