The purpose of this paper is to provide the reader with an accessible yet rigorous introduction to Bayesian optimisation with Gaussian processes (BOGP) for the purpose of solving a wide variety of radio resource management (RRM) problems. We believe that BOGP is a powerful tool that has been somewhat overlooked in RRM research, although it elegantly addresses some of the most pressing requirements that alternative recent approaches, such as reinforcement learning (RL), do not meet. These are the need for fast convergence, safe exploration, and interpretability. BOGP also provides a natural way to exploit prior knowledge during optimization. After explaining the nuts and bolts of BOGP, we delve into more advanced topics, such as various acquisition functions and dealing with dynamic performance functions. We finally put the theory into practice for the RRM problem of uplink open-loop power control (OLPC) in 5G cellular networks, for which BOGP is able to converge to almost optimal solutions in tens of iterations without significant performance drops during exploration.