Co2FeAl (CFA) thin films of various thicknesses (1 nm£d£10 nm) have been grown on (001) MgO single crystal substrates and annealed at different temperatures (Ta). Their magnetic properties have been studied by, vibrating sample magnetometry, broadband microstrip ferromagnetic resonance (MS-FMR) and Brillouin light scattering (BLS). The effective magnetization, deduced from the fit of MS-FMR and BLS measurements, decreases linearly with the inverse thickness (1/d) for all the annealing temperatures. This allows quantifying perpendicular surface anisotropy constants of 1.46, 1.71 and 1.29 erg/cm2 for Ta=215, 265 and 315°C, respectively. The perpendicular magnetization is achieved for the CFA films below a critical thickness that increases with decreasing Ta. Moreover, the fourfold anisotropy fields, measured in the in-plane magnetized films, increase with Ta and decrease with respect to the CFA inverse thickness.