Did they have anything that could be used even as a crude sunscreen? If not what did they do besides try to stay indoors or cover up (which would be really uncomfortable in the heat)? Did many white people get lots of sunburn? How did they treat those sunburns if they did? How did they bear the heat when Europe is so cold in comparison?
Also how did the Africans protect themselves? I'm guessing it takes a lot longer for a black person to burn or be sun-damaged than a white person but it must happen eventually right? And they can't escape the heat. What did they do at this time?
Sources I've read regarding European intrusion into the Kalahari don't mention much about how they dealt with the sun (it's one of the sunniest places in the world) or the heat (summers get above 40C). I never gave much thought to it because it's not mentioned much and photographs (especially of the Germans, who did a lot of photographing during their short colonial tenure in Namibia) show Europeans dressed in European-style clothing and soldiers in European-style uniforms, albeit riding camels. Heat up to 40C is bearable when you're acclimated, even for people of Northern European ancestry wearing trousers, long sleeves and hats (I know this from first-hand experience in a field job as an undergrad). Long sleeves, hats, and trousers also effectively protect you from the sun.
The indigenous peoples of the Kalahari had a few minor ways to protect from the heat or sun. San people wouldn't do already-dangerous trance dances during the day and would be less active in the hot and relatively humid summer. Both Khoi and San tend to have lightish skin (in fact, they both referred to Bantu speakers and Damara as "black people") and would occasionally rub animal fat on their skin; at least in some cases this may have served as protection against the sun. Mostly they just dealt with it.
Basically, sun and heat are more inconveniences than anything else. Europeans in the Kalahari found the scarcity of reliable water sources to be a much bigger deal, and Europeans in tropical parts of Africa had diseases to contend with instead.
I don't understand where you got the idea that Africa is some sort of a scorching hell. Africa aside of Sahara and Sahel is about as hot as southern Europe in the summer, except it's hot all year round. White people didn't use any special protection, aside of hats.