It’s great to read up about the artist, useful to have an idea of context etc, but the effect his work has on you directly is where the power of such an exhibition lies.
When I see the work of great artist’s close to, I make a point of standing (if at all possible) at ‘arm’s length’ from each piece. Think about it, if you can get within about two feet of a piece, you are standing where the artist would have been when making the thing. Look at what they have done. If you can, sniff too – oil paint takes centuries to dry and a smell may be discernible. Move your eyes over the canvas or surface and take in the textures. See how brush strokes or pen marks are actually made, if you can, imagine your own hand making them.
Picasso was an excellent draftsman. His explorations of the surfaces of objects and the juxtapositions of certain shapes, colours and forms were all about challenging and exploring reality as perceived through the eye. Proximity lends a huge depth to the experience of a work. Stand away, view a piece from several feet, or yards. How differently do you feel about it? Picasso also had a wicked sense of humour and loved women. Try empathising with what you understand of him, see what it brings to the work.
I think that research ‘about’ an artist is only so helpful. The depth, aura and empathy one can gain from seeing work in reality can’t be beaten. Just let yourself go with it, enjoy… I am envious!