Think of a Faulkner text as a suspense or mystery story—but with you the reader (instead of a character) as the detective. Or think of the text as the slow unfolding of a jury trial with yourself as a juror, sitting in court listening to and sifting through the varying and sometimes contradictory testimonies of a parade of witnesses, and knowing that finally you'll have to make up your own mind about what actually happened and who is and is not telling the truth. Be willing to suspend the need for instant gratification; learn to appreciate and enjoy delayed revelations and a gradual unfolding of plot, characterization and theme.
Or, better, think of Faulkner's novels as symphonic in structure. And just as a symphony moves from section to section, presenting varying moods and impressions, altering speeds and rhythms, at times introducing leitmotifs [melodic phrases that are associated with an idea, person or situation] and themes that will be developed more fully later on, at other times looping backward to recapitulate earlier themes, but always advancing toward a final resolution, so too does the Faulkner novel employ shifting tones and impressions, hints and foreshadowings, repetitions and recapitulations, time shifts looping backward and forward, all consciously intended to shape the story not so much on the pages of the book but in the reader's mind and imagination.
Since, in many respects, Faulkner's stories are more about impressions than events or facts ("I don't care much for facts," he said), the way to read a Faulkner novel (at least the first time) is to immerse yourself in the rich and powerful language, lose yourself in its sounds and rhythms, delight in the detailed descriptions and the images, enjoy the voices of the characters—and wait, ignoring for the time being what happened before or what's going to happen next. Like an unfocused image on the screen, the Faulkner text typically appears all a blur for quite some time, but then Faulkner will begin gradually to turn the focus knob, bringing the story and its characters and meaning into sharper and sharper (though never absolute) focus.