Find yourself a martial arts school that teaches sai as part of their kobudo training.
The school need not be an Okinawan Karate school, as there are quite a few Japanese Karate schools (Shotokan, Wado Ryu, etc) that teach one of the "big three" styles of kobudo (Matayoshi, Yamanni Ryu, Ryu Kyu).
Above all, though, get competent live instruction. When working with sai, it's very important to have good mechanics, as a bad set of mechanics can result in injury to one's self, and not just from hitting yourself with the metal sai. I've seen self-trained practitioners who end up with elbow injuries, forearm injuries, hand injuries, etc., from sheer wear and tear, due to their shoddy mechanics.
No matter how good a video may be, and no matter how correct, it cannot tell you if you are doing things right or wrong. Videos and books are good for enhancing the knowledge of one who already has knowledge of the weapon's use, but even then, no book can replace a competent instructor.
Yes, there are some amazingly talented people who were able to pick up a sai, receive a minimal amount of instruction with it, and become masters, but those people are the very rare exceptions to the rule.