Where is documentation for CJK input methods (Its)?
Years ago (for OS 9 I think) Apple produced manuals for these IM's, which you can sometimes still find online, but I don't know how useful they are now.

For OS X, for each IM, when it is active, you should find a Help item further down in the "Flag" menu.  Below is what comes up for Korean.  Otherwise you have to rely on google to find explanations provided by individuals, such as

http://www.koreanfromzero.com/install_korean/mac_osx/ 

for the 2-Set IM.  Below are also cheat sheets for the two Romaja IM's I found (first Gongjincheong and then HNC).