I'm not sure what you mean by "mythology" since the term is used in a variety of ways, so I'll stick with the "folklore" side of your question.

A great primary source is the seventeenth-century book by the Rev. Robert Kirk, "The Secret Commonwealth of Elves, Fauns & Fairies" (1691). Kirk was a believer who wanted to document the supernatural world, but in doing so, he documented a great deal of belief. There is an accessible new edition by R J Stewart, "Robert Kirk: Walker between Worlds" (1990) that is very good.

Now nearly a classic, Lizanne Henderson and Edward J Cowan, "Scottish Fairy Belief" (2001) is excellent and frequently cited. They do a great job of covering the history of this aspect of folklore.

The best body of folklore - although it depends on the edition as to whether it has enlightening commentary - is John Francis Campbell, Popular Tales of the West Highlands. 1860-1" (2 volumes). Additional material from his collection was published in the twentieth century as "More West Highland Tales".

These are some of the classics, although I would direct you to the bibliography of Henderson and Cowan so that you might find particular publications that address your specific interests.

As for "mythology": this term is probably best reserved for pre-conversion belief and stories. Caledonia is weak in this regard, lacking the sort of rich body of heroic stories recorded in early-medieval Ireland. In fact, it is to this body that one normally looks in an attempt to reconstruct an image of pre-conversion Gaelic beliefs and stories (whether in Ireland or Scotland). If that is what you're after, it is a different kettle of fish and requires different fishing gear.

I hope this helps.