A guide to understanding and finding primary sources at the USA Marx Library can be found here.
Concept of Empire: Burke to Attlee, 1774-1947 by English Historical Documents by English Historical Documents, 1906-1939: a Selection by 
Monarch of All I Survey : Bechuanaland Diaries, 1929-37 by 
Parliament and Politics in the Age of Churchill and Attlee: the Headlam Diaries, 1935-1951 by Parliamentary Diaries of Sir John Trelawny, 1858-1865 by Shoulder to Shoulder : a Documentary by Sources of English Constitutional History: a Selection of Documents from A.D. 600 to the Present by They Saw It Happen; an Anthology of Eyewitness’s Accounts of Events in British History, 1689-1897 by War Memoirs of David Lloyd George by