First of all, doing something like that is somewhat Lynchian in theory, and also illogical. Reading about "Lost" is similar to what I've heard about studying philosophy: it's like trying to scratch an itch on your foot through your shoe. And trying to follow any Lynch movie, let alone "Wild at Heart," is like trying to make heads or tails about a frog who can sing and fly, but who is really a rabbit that can neither sing nor fly, but instead can cook pancakes.
In the end, knowing "Lost" and not knowing "Lost" make only a slight bit of difference in understanding how all the characters end up together in the end. And a David Lynch movie will be a David Lynch movie regardless of whether you pay full attention or not. In both, you will have constant WTF moments.
So in that sense, reading about "Lost" while watching a David Lynch movie is simply to resign yourself to the understanding that you definitely will not get either. It's not the worst thing you can do in the world, but it is a lot like waisting time in a bar, staring into space trying to understand the inner workings of the Wurlitzer in the corner hidden behind the 7-foot tall goo goo monster that's just minding it's business. Oh, plus the bar is really a swap meet.