The stories are written in such a way that you don't really need to read them all to know the characters. It would help shed light on motives, etc. if you do read them all, however. Faulkner is difficult to read...even for seasoned vets of literature...I would suggest using some sort of note taking strategy to keep characters straight and to record questions you might have or connections you make to other stories or popular culture as you read.
Check out the enotes summaries of Faulkner's works. They will help you, as well. Good luck!