I had never read the book prior to watching the first few episodes, but have since picked up the first book. It really, really helps when watching the series.
We have done that with other shows, and find that it really helps in remembering characters and actions that would have been a few months before in the normal broadcast schedule.We will likely archive the full season and give it a try again at some point. Watching them all in a row may be easier.
I was in the same boat - started reading Dance with Dragons only to find out I forgot a lot of the secondary charactersYou think that's bad? It's been almost SIX years between the release of the last book - A Feast for Crows and today when A Dance with Dragons finally appeared.
I'm going to have to re-read AFfC before I can crack open the new book!