The books are meant to be read in chronological order, which is publication order for the novels. The short stories can be inserted into the chronological order, or skipped until you've read all the novels.

There are two schools of opinion on where to start. His first few books are the weakest, and Jim himself recommends skipping them and starting at Grave Peril. Others recommend just going in at the start so you can meet characters as they're introduced.