Some people see a magician and are satisfied and entertained by the illusions themselves. Others see the same thing and want to know how the illusions were done. I think most people (including myself) fall somewhere in between. In the Tolkien quote provided by Lord of Angmar above, Tolkien seems to be saying that a good magician doesn't reveal his tricks, and a good audience doesn't probe too deeply to discover them.
So how deeply is too deeply? I guess that's up to you. Some people read everything Tolkien wrote (whether he published it or not) to learn as much as they can. Others prefer to stick exclusively with the books he published himself. Most people fall somewhere in between.
If your goal is similar to Lord of Angmar's above (a position I happen to agree with) then learn as much as you can about Tolkien himself, about the philosophies that inspired him to make the creative decisions that he made. Then discuss them here or (if you're lucky) with similarly interested friends and you will gain a much deeper understanding of Tolkien's literature and of literature in general. If your interest is Middle-Earth trivia--go for it! but beware. You will find many direct contradictions. I don't even consider The Silmarillion to be canon since Tolkien never had the chance to finalize the editing process that created it. (It' a great story though!--Just take the facts in it with a grain of salt.)
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Yet all the while I sit and think of times there were before,
I listen for returning feet and voices at the door.
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