webby and bock,
both of you should read the previous posts through the forum, the swords forum has numerous threads against just learning from books or online. topics like "teaching myself" "self taught" - etc
i know you want something accessible, cheap and easy, but if you actually want to learn how to use a weapon you'll actually need to attend martial arts classes, though many arts/teachers wont do weapons training untill you reach an advanced level (some may teach you straight away)
if the sai is just going to be something for you to play with for a while untill the hype of the elektra movie dies down - then just play about - try to be safe when you use them.
however if you want to learn how to use them properly - then start calling the local martial arts clubs in your area and find if they use the sai.