"I wanted to put a sheet in explaining what all the songs are about, but they didn't do it"

This quote by Dick Dale is most likely referring to the lack of liner notes or other information included with a record or CD. In the past, record business would often consist of a sheet of paper with the album that would explain the significance behind the songs, or provide some background information about the artist. It appears that Dick Dale wanted to include such a sheet with his album, but the record company did not enable it. This could be due to a variety of reasons, such as expense or time constraints. It is possible that Dick Dale was disappointed that his fans would not have the opportunity to read more about the tunes he wrote and taped. It is likewise possible that he wished to provide additional context for his music, so that listeners might much better value the stories and messages behind his songs.