Personally, I like to buy them as they are released. This is what I'm doing with the Beyond Armageddon series. It also gives me time to read something else while I'm waiting. However, some authors do take the Mickey. I remember reading the Elizabeth Moon's Vatta's War series. These were published one a year from 2003 to 2008. I had to keep refreshing my memory as to what had happend in the previous novels
Your comment about the Wheel of Time does highlight another problem though - the one of an untimely death of the author leaving a series unfinished. In the case of the Wheel of Time, I understand that Brendan Sanderson will be completing the series. With other less popular series it is not so certain that they would ever be completed.