There is a bit of info on bouldering on this site. The climbing is covered in Shane Richardson's guides (Margaret River Rock and WA Rock i think), available from Perth outdoor stores (paddy's, MDs and mainpeak). There is good trad and mixed climbing and willyabrup and good sport climbing at bob's hollow and walcliffe.
Bob's Hollow and Wilyabrup are definitely the crags to visit if you're going to Margaret River. Funky limestone sports climbing next to the ocean at Bob's and adventurous mixed/trad on granite also next to the ocean at Wilyabrup. Unless you climb high 20's or it's raining I wouldn't bother with Wallcliffe, especially if you're allergic to bees. It's in a nice location next to the river, but it's not a very inspiring crag. The routes there are short and often in close proximity to large bee's nests. You can boulder/climb there in the rain apparently. There's a fair bit of bouldering around Perth but not a lot near Margaret River as far as I'm aware.