I'm a fan of Heinlein and am always happy to see folks picking his work up, but I'm afraid you stumbled across one of the absolute worst ways to start reading the man. The Cat Who Walks Through Walls heavily references (and assumes you've read) several of Heinlein's earlier novels and was written well into his Dirty Old Man Without An Editor period. Now, I maintain that Heinlein could write the phone book and it would be pretty entertaining, and if you're already getting into the book and digging it that's totally great. That said, you may want to set it aside and go for another Heinlein novel as a starting point; The Moon is a Harsh Mistress is my personal favorite and is one of the key books you'd want to have under your belt if you do try to give The Cat Who Walks Through Walls a go.
Meanwhile, I spent most of the weekend reading The Aeronaut's Windlass by Jim Butcher, the first book of his new steampunk series The Cinder Spires. I tore through it in three days, so I reckon I liked it. Butcher has fun with the steampunk tropes (up to and including coming up with a reason for everyone to have goggles), doesn't dwell overly on the worldbuilding (though he does provide a reason why everyone is tooling around in airships), takes a bunch of likeable characters and sends them right into the middle of all hell breaking loose (with plenty of action, derring do, and so forth), and generally has big fun with the whole setup. Also, at one point Butcher goes really out of his way to set up a terrible pun, which I can respect. Oh, and the setting has sentient cats with opposible thumbs who are incredibly arragont and enthusiastically violent. They're practically the best part of the whole damn book.
I also recently read the first four novels in Naomi Novik's Temeraire series, i.e. the Napoleonic era with dragons. They've been absolutely terrific in an addictive, historic serial fiction sort of way. The only reason why I took a break from the series was that I was excited for the new Butcher novel and I'm still waiting for the ffith Temeraire book to arrive in the mail. I'm excited to get back to it in short order.
FnordChan