The video we have said that they can't really pick up on the concepts until around 7 months.
During my pregnancy we would practice the signs from a pretty cute little book I got . . .
but our baby is just one month now so I can't tell you whether or not that video was any good since we haven't started using the concepts yet.
'Sign with You Baby' by Garcia is a good one--it uses ASL rather than baby signs. My DD is almost 9 mos and recognizes signs for cat and milk. We also sign change (as in diaper), daddy, dog, bird, more, in (for babywearing).
There's a "signing mamas" thread in the Finding Your Tribe forum here on MDC. Lots of helpful stuff there.