For the last few days I have been trying to find new borrowings in English, but failed to find anything brand-new. Where should I start from actually? What sources could I search?
A good place to look is the list of new words added to dictionaries each year. You can find Merriam-Webster's online -- at least samples.
M-W New Words 2011
M-W New Words 2012
The newest one I came up with in my head, perestroika (from Russian), is far from new (1986)! The method I used for that was to consider what cultures had significantly interacted with English or American culture in a new or different way. These are often the greatest opportunities for lexical borrowing. I forgot vuvuzela.
The abbreviated list from Merriam-Webster of new words from 2011 has one: parkour (from French parcours, 2002).
I feel confident that, if I had access to the complete list of newly added words for 2012, I could spot a few borrowed words in there.
[edit: added the following]
OED New Words 2012
capitolo
yakisoba
And, it turns out, if you include scientific terms constructed of various non-English constituents, you have a treasure trove, including names of new unstable elements, newly discovered species, and the like.