In reply to Donotello:
There is also the bouldering area of Pedra Do Urso on the granite boulders. Over 200 problems documented.
From Covilha head up to the Serra on the N339 towards Penhas da Saude. Pedra do Urso is signposted on the road to the right, approximately 7km from the city.
There are a few videos on line so you can get a feel for it.
Post edited at 22:21