Hmmmm... a series, eh? Well, in a manner of speaking, yes ... and no.
His juveniles form a series of a sort -- not following the same characters, but building on each the previous books thematically, so that, when read in succession, you can see the development of various ideas that appear in somewhat primitive form in
Rocket Ship Galileo, and which build and take on broader and broader implications as he explores them throughout the series, culminating in
Starship Troopers.
Lazarus Long (a.k.a. Woodrow Wilson Smith) does appear in several places, but -- aside from
Methuselah's Children and
Time Enough for Love -- he is not the main character in these. However, they are a subset within his "Future History" series, the majority of which were collected into
The Past Through Tomorrow (with the exception of "'Let There Be Light--'", "Universe", and "Commonsense" and the much later (and lengthy) novels. That series (or the main branch of that series, as there are connections between some of his juveniles and other works and the series proper -- notably
The Rolling Stones,
Space Cadet, etc.), is as follows:
"Life-Line" (
TPTT)
"'Let There Be Light--'" (
MWSM)
"The Roads Must Roll" (
TPTT)
"Blowups Happen" (
TPTT)
"The Man Who Sold the Moon" (
TPTT)
"Delilah and the Space Rigger" (
TPTT)
"Space Jockey" (
TPTT)
"Requiem" (
TPTT)
"The Long Watch" (
TPTT)
"Gentlemen, Be Seated" (
TPTT)
"The Black Pits of Luna" (
TPTT)
"It's Great to be Back!" (
TPTT)
"'-- We Also Walk Dogs'" (
TPTT)
"Searchlight" (
TPTT)
"Ordeal in Space" (
TPTT)
"The Green Hills of Earth" (
TPTT)
"Logic of Empire" (
TPTT)
"The Menace from Earth" (
TPTT)
"'If This Goes On--'" (
TPTT)
"Coventry" (
TPTT)
"Misfit" (
TPTT)
"Universe" (prologue only) (
OotS)
Methuselah's Children (
TPTT)
"Universe" (
OotS)
"Commonsense" (
OotS)
Time Enough for Love
The Number of the Beast
The Cat Who Walks Through Walls
To Sail Beyond the Sunset
(TPTT =
The Past Through Tomorrow; MWSM =
The Man Who Sold the Moon [collection]; Oots =
Orphans of the Sky). And, since
Cat is concerned with the same timeline and such as
The Moon is a Harsh Mistress that novel, too, becomes at least closely linked with the Future History series. Even
Stranger is connected to it, as well as (albeit with some wide leeway)
I Will Fear No Evil. Essentially, with Heinlein, as so many writers with a strong worldview, all his work is interrelated as he explores these ideas... resulting in such concepts as a multiverse, where alternate versions of different characters or situations can be played out, allowing an examination of these themes from different angles (which is something that he shares with Michael Moorcock -- who is about as different a writer from Heinlein as one can imagine!
)
As for
The Worlds of Robert A. Heinlein -- there has been a revised, expanded version of that titled
Expanded Universe, which will be easier to find. There are several collections of his stories:
Assignment in Eternity;
The Unpleasant Profession of Jonathan Hoag (a.k.a.
6XH);
Waldo & Magic, Inc. (2 novelettes);
The Menace from Earth (which has not only the title story, but several unrelated stories);
Requiem (uncollected pieces plus tributes to Heinlein); and
Off the Main Sequence (which has three stories not collected elsewhere); as well as those collections which originally comprised his Future History series:
The Man Who Sold the Moon,
The Green Hills of Earth,
Revolt in 2100.
The Fantasies of Robert A. Heinlein contains the contents of both
Waldo & Magic, Inc. and
The Unpleasant Profession of Jonathan Hoag.
Enjoy!