Some books that may help you -
First World War Army Service Records - A Guide for Family Historians. William SPENCER ISBN 978 1 905615 26 1
Welsh Family History - A Guide to Research. ROWLANDS & ROWLANDS ISBN 1 86006 065 X
Second Stages in Researching Welsh Ancestry. ROWLANDS & ROWLANDS ISBN 1 86006 066 8
The Surnames of Wales. ROWLANDS & ROWLANDS ISBN 1 86006 025 0 (I think this has just been updated recently and re-published as a new edition).
Tracing Your Welsh Ancestry - A Guide for Family Historians. Beryl EVANS ISBN 978 1 84884 359 2

Clearly if you find ancestors from elsewhere, there are books which will help from those areas.