Not really - the links are very very subtle (a character name or two, that sort of thing). It shouldn't matter which order you read them in.
DOCKING IS DIFFICULT is perhaps the most idiosyncratic of the three - if you don't get on with Gid's style of humour, it might be tricky, although there's a lot of plot and Elite references in there as well.
If you want the most straightforwardly actiony of the three, it's probably WANTED, although the twin narrative leads, and the fact that its the longest of the three, mean you do need to pay attention.
The most literary in prose style yet straightforward in plot is probably NEMORENSIS.
Hope that helps!