Well, just incase anyone was wondering...
K1 yarns on Queen Margaret Drive closed down last year to focus on their Edinburgh branch (not that i mind, they were overpriced and unfriendly), but there is now a cafe/yarn shop there called the Yarn Cake which has opened in the last few weeks and they stock a good variety of yarn across different price ranges.
Mandors is pretty useless for yarn i'm afraid, their stock is limited at best.
John Lewis has lots of nice yarn and a good haberdashery but if you buy some yarn there don't expect it to still be in stock a few months later, they change their stock fairly regularly.
The Life Craft has some gorgeous yarns and also sell kits of stuff you can spin yourself. Vonnie who runs the place is fabulous and i'm sure she would order stuff in for you if you like. They can be a little pricey but all the stuff they sell is really nice.
Anyhoo, yes old thread, but up to date info