"because I think Power BI currently only works with SSAS cubes and is online only"

I've seen one of the WiseOwl folks (see YouTube for the video) create a Power BI workbook against a 3NF database, not a data warehouse. Worked okay. You can also join all kinds of various data sources in PowerBI... You can have it completely local, if you want. Or you can connect to different sources all over the place.

To the OP...

Dan Clark's book might be a good place to start. It's an introductory level book, but pretty good.