I too find Winslow Yerxa's Blues Harmonica for Dummies very useful. I bought second hand - from Abebooks, an excellent second hand book resource. As it is entirely focused on blues playing, I would advise starting with that.
Jon Gindick also has a Rock 'n' Blues harmonica bock, but I didn't get on with it's style - sort of written as a musical journey, with riffs and lessons interweaved into the narrative.
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