The Proud Highway (and Fear and Loathing in America) I read occasionally.. like one would a short story collection. I approach it this way because, since they are collections of letters.. they can get lengthy/thick to follow sometimes. I make notes while I read them, so I'll remember the bits and pieces I'd like to make sure I remember.
I've actually finished The Proud Highway, and I pick at 'In America' on occasion. I've read a a couple biographies on HST, which makes following the timeline of these two books a little easier.
I think '..Highway' was a better read, especially the first hundred pages, because everything was linked together with greater detail in the letters, and there wasn't as much random correspondance with his editors and fellow writers, mainly just personal relationships that were still hanging from highschool, the military, and new york. Don't get me wrong tho, Fear and Loathing in America is a great book.
Have you read "Hell's Angels"? This one's a main book for his career.. its what 'broke' him out to the public. Have you read 'Curse of Lono'? I haven't... keep meaning to tho. If you have I'd like to hear your opinion.