Check out this informative, though slightly cheesy video on the pilgrimage:
More more information check out the very extensive
http://www.shikokuhenrotrail.com by Dave Turkington.
NPO Shikoku Henro Pilgrim and Hospitality Network (English/ French/ Spanish)
To buy English/ Korean guide book : The True Shikoku Henro
General information of Shikoku: Tourism Shikoku (English/ Korean/ Chinese/ German/ French/ Spanish)