I've done it a lot, and have had no problems. If you want the whole series though, it may be cheaper to buy all of them at once through E-bay or something.
That would work, depending on if the OP hasn't gotten several books already.
When I first started reading the series, there was 26 books back then, (now up to 34,) I used to reserve them from the library one by one. Which worked out fine... except, then I started inhaling them faster than eating a bag of potato chips.
Then I started reading the beginning of the series over again, when I started to get to the end of the series. So I'd reserve 2-3 books at a time. But, if they were already taken out, a later book would come in before the previous one in the series.
That still wasn't a problem as library fines were cheap for overdue books. I considered the fines helped the library out.

I'd just wait till the book I wanted came in and inhale the two or three books back to back.
The Library's budget was cut and they raised the overdue fines from 10¢ per day to 25¢ per day, per book.

So if I took out 3-4 books out at one time and didn't get to return them for a week past due, I owed $4 by the end of the week.
If I was paying that much in fines for a beat up, used book, I might as well OWN it too, so I'd have it.

So, I started buying them used, mid series and toward the end, and whatever I happened to find.
By the time I finally looked at eBay to buy the series, or part of the series in a lot, I usually owned too many books in each lot, to make it worthwhile.
Now I own most of the books, but as my eyes have gotten worse, and I've fallen in love with eBooks,

(which has bigger font capabilities,) I may switch over to getting all the
In Death eBooks in Kindle format.

I'll probably eBay off my set someday, but that won't be for a while as I still don't have a Kindle.
