Not sure exactly what's going wrong for you. I've made some snazzy empires with Transvaal before, even since HoD.
I start off by slapping down Oranje and using my national focus on troops (and keeping military spending high). With a couple of regiments you should be able to dispatch the inferior Zulu forces.
But, as others have said, some of it is down to luck. The UK may or may not hit the Zulu early, and there's little you can do to influence that. With that said, you can survive and thrive without taking them (in my experience it takes a ridiculously large amount of time before you can make it a state...). Transvaal and Oranje both have some wealthy chunks of land that can be exploited, and all you need to do is get to secondary status in order to colonize a nice little swatch of Africa. Of course, taking Zulu will also net you access to the ocean, which in itself can be huge. It's a great feeling when the stars align and you can use the conquered Zululand to launch a naval invasion of Madagascar before it falls under French protection.
That sweet, sweet coal... it changes your life.
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