Yes I read them in the order presented. The order kind of makes sense (sem 1 & 2: Ancient Greece, sem 3: Early christianity/rome, sem 4: renaissance, sem5/6: enlightenment, rise of democracy, sem 7/8: early modern period.) By the time you get to Shakespeare there are echoes of stories you have already read.
In terms of a strategy for retention, I kept a small book of quotes from the works and would add to them weekly (no idea where this is now).
I should say that the latter stages of the course has large sections that are for essay writing and projects. I skipped all this but added other books instead. These were mainly American literature (Twain, Fitzgerald, steinbeck), English literature (Bronte, Dickens, Orwell) and some older stuff (Suetonius, Xenophon).
The books me and my friends found to be ass-kickers were the dense philosophy books with many seminars back-to-back, like how there were seven? on Critique of Pure Reason and six? on Phenomenology of the Spirit. Important books, to be sure, but there's a limit to endurance.