They definitely work better and flow better as a full set. But be wary that it's quite a daunting task. If you have the time to do it, I would suggest listening to them all in order at least once before attacking them individually. I don't think I've ever managed to actually sit through the entire thing in one sitting though (other than the live show). I usually tend to listen to two or three EP's in a row, take a break, then pick it up later.
But really... it's awesome no matter how you listen.