In reply to Jo,rocks:
There's an accurate description of how to get to Rocha da Pena on this site - do a quick search. The Jingo Wobbly Portugal guide has good topos of Rocha da Pena, but the photos and topos are very flattering - it's not a big crag. YOu can buy a one sheet topo from the bar at the crag, which is enough to get by, or download from one of the web sites listed in the crag instructions. Rocha da Pena is about half an hour from Vale do Lobo/Almancil. 20 minutes from Loule.
The crags at the end of the world (Cabo San Vincente) down at Sagres are fabulous though, but for those you need local knowledge as the Jingo Wobbly guide is totally and utterly useless. The Dromedario cafe in Sagres has lots of hand drawn topos in its routes book, but without someone to show you where each crag is you're stuffed. Best get in touch with Geeze who lives there.