Hi Dave Carbery ,
I haven't connected a SP before, but when I saw your post, I wanted to try it as well ;)
This is how I did it:
First, you need to log in with a user that has admin rights.
In the Admin Center -> Data -> Data Soruce -> add Data Source -> SharePoint
It worked for me with the following Authentification Method:
In Model: All the available tables can seen when you add SharePoint from Cloud Sources
If you have worked before in programms with SharePoint list, you will know that it will replace your header with field_1, field_2 etc. But those can be easily renamed. There are as well more columns available than in your original list, like when the row was last modified. Those columns can be easily deselected via Column Selection.
I hope that helps!
If you have any further questions, don't hesistate to comment here again ;)