When I deliver components that will be built into an installation / or built into a unit, must it also be CE marked?

Yes, under the new Machinery Directive 2006/42/EC not completed machines (a combination of machinery but which can not in itself a specific achieve a specific application) fall also within the scope of the Directive.
This means that not complete machinery should be similarly certified. They must, just as complete machines, have a Technical File. These documents must give an insight to the design, manufacturing, risk assessment and operation of the not completed machines, this is necessary for the assessment of conformity with the relevant essential health and safety requirements.
They must also be accompanied by an installation manual and a installation declaration.