So how did I learn to play the harmonica with this music. I'm hoping that by explaining my learning process I can help you to do the same or inspire you to not give up on it yet.
First I tried out for the high-school Jazz Ensemble (which played mostly rock and blues) and the director insisted that I start lessons if I were to join. So from the get go I was given songs to solo on (even if I couldn't play the melody) and my teacher told me to play in 2nd position and instructed me which harmonicas to play. Then I was asked to be the singer in a high-school rock band because I had long hair. I agreed (even though I'd never sung) as long as I could play harmonica. Both of these situations allowed me to experiment with improvisation in songs with predetermined and announced key. By knowing which harmonica to play and playing whatever came out I was training my ear to associate these notes as consonant within a key. Even though I may not have felt confident about what I was playing I knew from instruction (and the fact that by being on a certain keyed harmonica I was limited to only the notes within that key) that what I was playing was not wrong and gradually became comfortable with the cacophony I was creating. The encouragement and interaction I got from other novices (and our few audiences) was both reassuring and inspiring.
At first I bought harmonicas in the keys of the few songs I played. But soon I began playing in other sessions where they would not cater to the few keys I had. This happened twice before I decided I would not miss another opportunity to play on a song with quality musicians that would let me play with them. So I went and bought all twelve keys! I also felt good about this thinking I would be saving money because harmonicas had gone up $5 each since my first purchases 5 months earlier.
Still I was limited by the abilities and inabilities of those I was playing with. I really longed for (and still do) the sounds on records that seemed so far from my reach. I didn't know what key these songs were in and what harmonicas to play. At first I would try out all my harmonicas one by one until what I was playing sounded as comfortable as it had in my previous live experiences with bands. This was often time consuming and frustrating. I had learned all the notes on one string of a guitar collecting dust in my garage. I would slide up and down this string until I found a note that felt settled. Then I would grab the correct harmonica. If it didn't work I would go back to the guitar and try a different one. Always I was going with my first impression, not spending too long and not dwelling on my mistakes. What I was doing, though unaware at the time, was finding the tonic (the note that all other notes eventually resolve in a key). By having a full chromatic scale on a guitar I knew that I was not missing the tonic as might be on a certain diatonic harmonica. Also the diatonics still sounded kind of good even they were the wrong key because their notes matched with each other even if not with the recording. By using a simple to play chromatic scale (which has no start or end because it has no whole steps or other leaps) I was not biased by the note selection on diatonic which would often lead to it's own tonic rather than that of the song.
Most of the music at this point was blues or funk based and tended to be in one key so I was lucky that I wasn't being thrown too many curve balls in this learning stage. I was constantly listening to new music and if I liked it I wanted to be playing with it instantly. I would play along even if I was in the wrong key and and move on to the next if I felt it was too frustrating. I began to put a post-it on record and CD sleeves because I was listening to so many albums I couldn't keep track of what key a song was in. I found that in the beginning I had a lot of blanks and wrong keys. This got better over time. But as I said, if I was listening to music I was playing to it. So I was keying an average of 50 songs per week. I improved quickly to the point that I could key a song faster than the trouble it took to look for the post-it.
When I started keying I would get 2 out of 10 right. I often thought I had more but changed my mind on a second listen. Over time I was able fill in these blanks. These mistakes were often because I was a key a fifth away and less often a fourth away. This is because the keys a fifth and a fourth away both share all the same notes as tonic except one. So I would go up a fourth or fifth and find it sounded better. Also songs in minor scales threw me. This is because major diatonic harmonicas are inherently set up in a major key. By learning bends and minor scales I was able to find the minor keyed songs and also assumed that if I couldn't get it that it was probably minor. More complex chord forms and key changes also threw me. As I learned more about these I could get them too. Until then I moved onto the next song.
A year later I bought a chromatic harmonica and learned just the chromatic scale to have a portable version of what I was doing on the guitar. This was helpful because as I was playing at higher level sessions I was given stink eye or ignored for asking the key of the song. Sometimes I was even told the wrong key of the song when I asked. This was because the guitarist didn't know, thought he was being clever and giving me the cross harp key, or was trying to mess me up.
The moral of the story is that by being able to figure out the key of any song I was awarded the ability to play along to inspiring recordings and play with more talented and inspiring musicians. I have never been inspired much by harmonica alone but rather more by a great ensemble performance or recording. I found that if I liked what I was playing with I sounded better and wanted to play and practice more. That simple.
I hope this first post helps. Fell free to add your comments with advice for others. I will add to it soon with a bullet point summary. Thanks.