Initiation depends on certain things. Some kindreds have specific initiations they do. It also depends on what kind of Heathenry you are doing. Like I said before, it can get really specific, and depending on the type it would change how you go about this. If you're not in a kindred, and you are going solo, you could do some sort of opening blot to dedicate yourself to the Gods and to make it known that you honor them.
Here's an example of how one person went about this:
You can read the Eddas online for free, which is the way I would go if I was you. You can spend a lot of money to buy a hardback copy but it's all the same, really. Not to mention there's so many translations of them, and I can't really say which is the best.
Prose Edda: http://www.sacred-texts.com/neu/pre/
Poetic Edda: http://www.sacred-texts.com/neu/poe/
Edred Thorsson's books are all good, in my opinion, so I do suggest you read and invest in them.