I agree. Start at the beginning and work youre way through. I got the audio books narrated by Patrick Tull and listened to them during my commute.
My son did that; listened to the whole series. I'm retired, and can afford the time to take it a bit slower (don't ask my wife about that). One advantage I can see to the audio version is to hear how all those Brit words sound.
I've bought the book
A Sea of Words. (click on the image for details)
and plan to re-read the series, starting when the rains come in October/November, with that book and a standard dictionary at hand so I can understand the details of what O'Brian has to say. It's pretty amazing to see how much of our everyday language derives from the Men-of-War square sailers.
That looks like a great book. For me, the advantage of the audio books is that they provide a way to make better use of the hour and a half I spend commuting to work each day. I rarely have time to read the amount of fiction that I’d like with my current working schedule. It’s one of those many pleasures that I look forward to on retirement (hopefully down to “single-digit” years now). :-)