I've just bought two of these wifi modules in the hope of setting up some sort of sensor network. Please could somebody recommend a good library for the arduino.
You don't need a library. At the most basic level you fire AT command to it via a serial connection, but that's like using a Ferrari to go grocery shopping once a week.
It has a 80/160MHz processor 10 digital and one analog port (although you got the version where only one digital port is exposed). You can program it through the Arduino IDE (You need to go to the board manager to download the BSP for it). Then like Majenko says, it should be talking to the Arduino (over I2C or SPI) and treating the Arduino is the GPIO expander.