Having luggage will make you a magnet. You will get robbed. Mainline trains are quite safe. If you have to get to Johannesburg station get dropped off in the parking lot at the top of the buses right at one of the entrances. Don't use ANY other entrance - you will get done.
All muggings are at knifepoint.
All SA, Mozambique, Zimbabwe, Namibia buses leave from Pretoria as well. Places to be careful are the area around tourist information, the minibus taxi rank at the bottom of town, the bottom of the Union Buildings and Church St between the Union Buildings and Paul Kruger House. The Modus Operandi of our new South Africans is to follow you for quite some time, wait till you draw money at the ATM, to approach you and to make sure that you're a tourist and then to ask for directions. If you don't know you'll get mugged. In general muggings consists out of snatch and run.