Do you know what kind of resources your school or library provides? Are you at University or is this for secondary school?

The best place to start would be Glanmor Williams, Reform and Renewal: Wales, c. 1415-1642. His is the leading synthetic work on Early Modern Welsh history.

Yes, you should absolutely go through the bibliographies in the books you have available. Some of the sources will be available through Early English Books Online, but this is a site available only to institutions. If your library does not have access to that database, I don't think your instructors would expect you to find the material there.

The most fundamental resources you will need (and have public access to) are the Statutes of the Realm, Letters & Papers of the Reign of Henry VIII, and State Papers of Henry VIII.

Statutes of the Realm, Volume 3 (1817) - This book covers the years 1509-1545. It will have the text of all the relevant acts for the Acts of Union. There are a total of 11 volumes in this set, with volumes 10 and 11 being indexes.

Letters and Papers, Foreign and Domestic, of the Reign of Henry VIII, 21 Volumes in 37 parts (1862-1920). This is the main body of sources for the reign of Henry VIII. It is catalogue and summary of the vast majority of state papers created during the reign of Henry VIII. Obviously, there is a lot to sift through here, but this source collection forms the backbone of all studies of Henry VIII and his reign.

State Papers published under the Authority of His Majesty's Commission: King Henry VIII, 11 volumes (1830-1852), This draws from the same body of sources as the Letters and Papers, but is a complementary collection. It is much more selective about which documents it prints, but prints them more extensively than the Letters and Papers.

You might also want to check Hughes & Larkin, Tudor Royal Proclamations, Volume 1, 1485-1553 (1964). It might have some valuable information on Wales and the Acts of Union.