bluethief: I'm thinking of playing those games in the next few months. I'll do them in order, since it'll be the first time playing them.
Do you suggest any source port in specific?
Doomsday...as long as your PC isn't a super potato it should run well enough....also it allows things like:
Use of the old style graphics/sounds or new/modded ones(depending on one's preference)
All games can be launched from the same launcher, either by launching the games or choosing/loading a specific save.
(It lists Heretic/Hexen/Doom/some misc games....Hexen 2 isn't listed, but I assume it can maybe run it as well)
Easily customizable controls(the controlling in GOG's vanilla version of Hexen was a bit wonky for me, so this helped)
Screenshot ability(though oddly it saves them, at least in windows, to a folder in the appdata folder)
Sidenote/addition: One can also (I am guessing, didn't try it) copy the each game's data files to one folder/set of subfolders and just use those with doomsday....or another source port.