'The Most Beautiful Girl In Town and other stories' was where I started, although it's been a few years since I read it. From memory, the stories 'Six inches' and 'The F___ Machine' were quite entertaining(perhaps it's the titles that have most stuck in my mind?). I carried on with 'Women', but I think I'd suggest the short stories first to see how you go - he's a weird one, for sure.
Have fun,
Chris.