I think this would be the normal way of saying it, without mentioning parallels.

"Excluding the Prince Edward Islands, the country lies between latitudes 22° and 35°S, and longitudes 16° and 33°E."
http://en.wikipedia.org/wiki/South_Africa

--------------------------------------------------
Note added at 1 hr (2013-01-04 21:46:21 GMT)
--------------------------------------------------

Yes, it's perfectly correct to refer to parallels of latitude, but you wouldn't normally include "parallels" when describing the position of a place like this.

South could be and often would be abbreviated to S; either would be correct.

It would not be normal to repeat "South" or "S" after each number of degrees; you would put it just once at the end.

However, although "latitudes" could in principle be omitted, since degrees south or north are inherently indications of latitude, it would be more usual to include it: in other words, although "it lies between 41º and 43º South (or S)" would be correct, it is more usual to put "it lies between latitudes 41º and 43º South (or S)".

--------------------------------------------------
Note added at 1 hr (2013-01-04 21:48:45 GMT)
--------------------------------------------------

And indeed it is also correct, though less common, to put "latitude" at the end, and say "between 41º and 43º south latitude" (as in Helena's last reference).