I do exactly the same, I nearly always have a series on the go, but will never read them consecutively.
I do like to own all of a series first, after reading lots of reviews and making sure it is worth it, but I have to own the set of same editions... nothing worse then a series that don't match.
The paperback versions of A Dance with Dragons have just been released and they are the bigger editions (that all new paperbacks seem to be) unlike the previous five paperbacks in the series... grrrrr