The application of theory to the harmonica are addressed very well by a couple books by David Harp. I mean, how can you not trust a guy named Harp on the subject of harmonicas? Anyway, the first is a guitar case sized book called "Music Theory Made Easy", available from Amazon. The second is "Instant Blues Harmonica" - hint: it's not really instant.
Anyway, both books are very useful for understanding how to apply the harmonica to both lead licks and backup. He covers the difference between straight harp (which is played in the key of the harmonica) and cross harp (which is played in the fifth of the key of the harmonica). He lays it out a little bit at a time, in easily digested chunks, and builds your knowledge much more quickly than you'd expect.
Neil Young, Bob Dylan, Tom Petty play mostly straight harp. Sonny Terry, Huey Lewis, Bruce Willis (yeah THAT Bruce Willis) play mostly cross harp. Neither is right, wrong, better, or harder. I prefer straight harp for myself most of the time.
Thanks for the reminder. I need to pull out my books and brush up on my harmonica playing. I've let it languish for a few years. I've got a felt sack full of harmonicas that taste like Crown Royal and macanudos. Time to clean them up and play them.
- Zurf