Well, you really find instruction if you plan on practicing ANYTHING. But I know from experience that these posts won't deter you, and I know that SOME things can be learned before you find a good instructor (basics, conditioning, falls, etc.). However, no matter how much reading material/videos/sites/other media you have to go through, eventually you'll be lost without a good teacher. You'll have a mass of techniques that you are partially sure will work for you, and they'll have been thrown together haphazardly.
Weapons training is one thing that first takes a solid understanding of hand and body movements (regardless of style). So if you're not capable there, you'll never get far with weapons...except maybe to the emergency room. So do yourself a favor, if you're serious about training-find good instruction, face to face.
If you're still going to practice the sai on your own, theres nothing we can do to stop you. The least I can do is make sure you at least get reputable; solid information. Your best bet for Sai, or practically any Okinawan weapon, is to do a search for Fumio Demura. He's a real master...anything from him should be of the highest quality.