This online reference source is an excellent place to begin if you are struggling to understand a type of theory or the work of a theorist.
Auger, Peter. The Anthem Dictionary of Literary Terms and Theory. King Reference | PN41 .A94 2010.
Hawthorn, Jeremy. A Glossary of Contemporary Literary Theory. King Reference | PN44.5 .H37 2000.
Ryan, Michael, ed. The Encyclopedia of Literary and Cultural Theory. King Reference | PN81 .E435 2011. Three volumes.
Wolfreys, Julian, ed. The Continuum Encyclopedia of Modern Criticism and Theory. King Reference | PN94 .C695 2002.
Sometimes it's hard to find resources to understand a literary theory when it's "borrowed" from another discipline. The next couple of boxes give some resources for where to look for theory that comes from outside the literature discipline.