You certainly could do that, but it's not entirely necessarily. Post Conquerer Worm, you could really read straight through Hellboy to present, or the same with BPRD. They certain make up two halves of one world, and it's especially rewarding to see all the lore stuff click into place between the two, but I read them alternating the first time and it can kind of heavy. Now when I read re-read them, I tend to go up to volume 5 of Hellboy then just pick one and go right through, then do the other. It's all absolutely fantastic though.
Technically, if you wanted to just start somewhere present day, the Abe series or Pickens County Horror, imo, are good spots, but if you're wanting to do it all in order, do not read Abe until you're all the way up to date on trades.