Marian,
I don’t believe that any works on Quantrill extensively cover this period of time, but a few do touch on his time spent with the Cherokees and specifically Quantrill’s alleged participation in the battle of Wilson’s Creek with the Cherokees. Quantrill and the Border Wars by Connelley (page 198) is a good source for this, as is an article published in the 1896 volume of Confederate Veteran entitled “The Indian Territory 1861-1865.”
Matt