I am presently at level 40 on X-Box and it seems like it's taking a very, very long time to raise my skill levels. If I just set somewhere and consistantly use a specicic skill, seems like I usually fall asleep and the skill doesn't seem to move much...Is there a website that list all the skill books and their location.. Thanks

There certainly is. Here you go:

http://www.uesp.net/wiki/Oblivion:Skill_Books

I hope it helps.