There are 2 that I would recommend:
1. Using Microsoft Dynamics AX 2012 by Andreas Luszczak -- it is dry but the best out there.
He has excellent labs and lots of walkthroughs to reinforce the concepts.
follow that by
2. Managing your Supply Chain by using Microsoft Dynamics AX 2009 with Scott Hamilton
It doesn't have walkthroughs, but he links the underlying business theory to Dynamics AX terms. I wouldn't recommend it as a first read, but it is an excellent second read.
I think that would be the best place to start.