You do not need to install the documentation separately: it is included with Sage. This includes the tutorial, the manual, the developer’s guide, and this installation guide. The tutorial includes a guided tour of Sage, and is a good starting point. The reference manual describes what is available in Sage along with examples of how to use it.
To build the HTML and PDF versions of the documentation, use the command sage -docbuild {document} {format}. For example, sage -docbuild reference html builds the HTML version of the reference manual; type sage -docbuild -help to see a list of all of the options.