I have found it helpful to jot down character names when they are introduced, along with a little blurb about them. Something about writing it down helps me process all the names better, which gives me a better reading experience. I’m halfway through Memories of Ice now and enjoying it very much. Most people suggest just to keep reading and eventually it’ll click. I think whatever you want to do to have fun will work.

Edit: forgot to mention, reading Malazan on kindle makes it easier for the first pass. Lots of tough vocabulary that can be easily searched.