My experience was that the Sequences, like most pieces of writing densely packed with information, cannot be understood on a first read-through.

Instead, following how memory works by association, the first time you read through them a little will stick, and the next time more, and so on.

To be slightly more clear:

I suggest that the first time you read through them, focus on the bigger picture. Don't worry about any particular piece you don't understand, just keep going until you finish it. A decent metaphor for this might be how buildings are constructed: during your first reading, you are laying the foundations and creating the skeleton of steel girders.

Your next read-through will help to flesh out more of the meat, and so on.

I stress that it's important to keep going; Rationality is long, and a slog the first time through. If you have to skip ahead, skip.

Hope that helps.