Google searches for tips for reading Proust are pointing to Orange Crate Art (which thus far contains nothing of the sort), so I think it's appropriate to oblige. Here are five:
1. Buy In Search of Lost Time, all of it, up front. Making the investment will increase the likelihood that you'll finish. (Imagine the ignominy of bringing the unread volumes to a used-book store!)
2. Read a set number of pages a day. I may be a slow reader: reading 25 pages of Proust takes me between 75 minutes and 2 hours. But Proust's prose requires one to go slowly. The unit of thought is the sentence, and often a sentence will need several rereadings for its shape to become clear. Breaks are good too: taking a day off after finishing a volume allows for a feeling of accomplishment before beginning again.
3. Make notes. Mark whatever seems important, funny, revealing, obscure. If you're reluctant to mark up the books, try Post-it Notes. Jotting down some of the details of relatedness will help keep Proust's aristocrats from blurring into one another. Who, for instance, is the Princesse de Guermantes? The wife of the Duc de Guermantes' cousin. That, in itself, is not very useful to know, but without such info, your reading will be unnecessarily muddled.
4. Look past the social world. In Search of Lost Time is about the growth of a human being. As in, say, a Jane Austen novel, fancy clothes and big houses are not the point. They are merely the props with which the novelist has furnished the world in which the real story takes place.
5. Persevere. One way to do so: calculate the date on which you're likely to finish. Reminding yourself of that date once in a while can add some incentive to keep going through slower stretches (for me, they're in The Guermantes Way). I've never read another novel that's prompted me to wonder about the date on which I'd be finishing. But there's really nothing else like Proust.
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