This is a bit dated but if you're still looking for info, stop looking for Dave's video and look at the other free content
Rick Lyons has a very good textbook.
The Khan Academy has good background mathematics on why it works. If you get started without maths and want to understand more, then you do need to study. Euler, Fourier, Trig, Complex numbers, Series etc.
I did SP as a part of my diploma years ago at a time when the internet only played about 25% in contributing to self learning. It was mostly printed matter.
If you want to take your self learning further you have this incredible opportunity where all the knowledge you need is on the internet.
SP is easy once you understand the fundamentals.