You should start from the beginning (Riftwar saga first part - Magician, may be split in two parts, it tells the story of Pug, Arutha and some other characters who also appear or are mentioned in the game). Young Jimmy appears for the first time I think in second part of Magician. Young Locky and Jimmy are introduced better in Silverthorn and Darkness at Sethanon. Anyway you should check chronology of the books on wikipedia or something and go along with it.

Magician, Silverthorn and Darkness at Sethanon lead up to where the BaK story starts. Many characters from those books make cameos or are referenced to. I think they should have done a few less cameos though. It feels a bit forced in some locations.

Like the two helpful people before me, I can also recommend Magician as the first novel you read. Jimmy and Locklear are both recurring characters, so you'll find them in other works as well. You won't find Owyn anywhere outside of Krondor: The Betrayal (the novelization of the game), though, as he's a character only appearing in this game (and the book written based on it), going back to his father after the events of Betrayal.