Parts of the following are excerpts from books that I have of my own and sell in my store. A list will be at the end. Books and CD's designed for learning are an important part of the learning process. They teach notes, timing,Scales, etc..
After learning the basics, then its practice, practice, and more practice. Below are a few things taken from books, and transcribed here for a little help.

APPROACH TO PRACTICE
Regardless of the style of music you play, it is important to have a correct approach to practice. You will benefit more from several short practices (e.g. 20-30 minutes per day) than one or two long sessions per week. This is especially so in the early stages, because of the basic nature of the material being studied and also because your lips and facial muscles are still developing. If you want to become a great player you will obviously have to practice more as time goes on, but it is still better to work on new things a bit at a time. Get one small piece of information and learn it well before going on to the next topic. Make sure each new thing you learn is thoroughly worked into your playing. This way you won't forget it, and you can build on everything you learn. In a practice session you should divide your time evenly between the study of new material and the revision of
past work. It is a common mistake for semi-advanced students to practice only the pieces they can already play well. Although this is more enjoyable, it is not a very satisfactory method of practice. You should also try tocorrect mistakes and experiment with new ideas. It is the author's belief that the guidance of an experienced teacher will be an invaluable aid in your progress. To develop a good feel for timing, it is essential that you always practice with a metronome or a drum machine.

LISTENING
Apart from books, your most important source of information as a musician will be recordings. Listen to albums that feature harp players. Some important Blues players to look out for are: Sonny Terry, Little Walter, Sonny Boy Williamson, Junior Wells, Big Walter Morton, James Cotton, George "Harmonica" Smith, Billy Branch, Paul Butterfield, Snooky Pryor, Jerry Portnoy, Sugar Blue, Charlie Musselwhite and Rod Piazza.
 For Country, Folk and Rock playing, listen to Charlie McCoy, Brendan Power, as well as the simple but effective playing of Neil Young and Bob Dylan. Some of the best Chromatic harmonica players include Larry Adler, Toots Thielemans, and Stevie Wonder.
 There are also numerous great Jazz and Blues sax players who are worth checking out. Little Walter got a lot of his ideas from listening to sax players. Some of the most Bluesy sax players are: Maceo Parker and Pee Wee Ellis (solo or with James Brown) King Curtis, Junior Walker, Fathead Newman, A.C. Reed, Eddie Shaw, Eddie "Cleanhead" Vinson, Scott Page, Illinois Jacquet, Stanley Turrentine, Eddie Harris, Ben Webster, Johnny Hodges, and Roland Kirk who often played two saxophones at a time!
 Guitar Players are another good source of ideas. Listen to the guitarist on any Blues album and you will hear note bending, slides, grace notes and other techniques which are equally effective on the harmonica. Some guitarists to look out for are BB King, Otis Rush, Buddy Guy (with Junior Wells or solo), Magic Sam, Lightnin' Hopkins and Albert Collins along with Robert Junior Lockwood and Luther Tucker who can both be found on
albums by Sonny Boy Williamson. When you are listening to albums, try to sing along with the solos and visualize which holes you would play and the techniques you would use to achieve the sounds you are hearing. This helps you absorb the music and before long, it starts to come out in your own playing. It is also valuable to play along with albums, sometimes imitating what you are hearing and other times improvising. This is very good ear training and is also a lot of fun.

TRANSCRIBING
As well as playing along with albums and imitating what you hear, it is important to work out solos and melodies you admire and write them down exactly. This is called transcribing. By doing this, you can analyze the player's note choices and rhythmic idiosyncrasies and find out exactly what makes them sound the way they do. By doing this, you will be able to analyze the lines to understand what it is you like about them and then incorporate them into your own playing. It is important to transcribe a variety of players from different eras rather than just imitating one favorite (who wants to be a clone?). You will learn something different from each player and will also open yourself up to new ideas and new sounds.
All the great players have done lots of transcribing. Make it part of your daily practice routine. When you have memorized a new melody or solo, try playing it with a play-along recording of the song it came from or one with a similar progression (e.g. a Blues). Once you can play the solo perfectly, use it as a basis for improvising and then use the ideas you come up with next time you play with other musicians. Make a habit of this and your playing will never stop developing.

RECORDING YOURSELF
From time to time it is a good idea to record your performances or practice sessions. Unless you have studio quality equipment, the tone quality you hear on the recording may not be completely accurate, but any recording will pick up timing and relative pitch accurately. As you listen back to yourself, pay particular attention to areas you think are particularly weak or particularly strong. Anything you think sounds good is worth developing further and anything that doesn't (e.g. timing, or pitching on bent notes) should be the focus of your practice sessions until it is turned into a strength.

LEARNING MORE ABOUT MUSIC
Regardless of your aspirations, your playing will benefit from learning as much about music as you can. By now you should have a good basic understanding of how melody and rhythm works, how beats can be subdivided and what keys are. However, many harmonica players don't know much about chords or harmony (e.g. keyboard or rhythm guitar accompaniment). If you have a basic understanding of these subjects you can contribute much more to band arrangements and songwriting. In fact, it is strongly recommended that you learn at least a bit of general music by taking up bass, guitar or keyboards. Ask the other musicians you play with about what they are doing and get them to show you a few things. Of course, the harmonica will still be your main instrument, but harp players who understand music are always popular and usually get lots of work.

Books to own: The Harp Book by Steve Baker,
                           Jazz Harp by Richard Hunter,
                            Chromatic Harmonica by Peter Gelling (more than just a Chromatic book.It has many many charts, scales, and explains them well.
                            The complete 10 hole Diatonic harmonica series.   A book for each KEY. I suggest starting with book   C  Harmonica Book by James Major.
Play a-Long CD's will rapidly improve your skils.