Get "Book of magical dances 1" when you defeat the shades of your friends in the den of woe. Get "Book of magical dances 2" when you defeat the Al Bhed's machina thing at full power, that is to say, when all it's attributes have been raised to level 5.
"Book of magical dances 1" will let you learn MP mambo and "Book of magical dances 2" will let you learn Magical Masque