I've read it and yeah I think missing a lot is definitely part of the experience. If you want to spend money, there's a translation guide or two Dorothy Dunnett Companion books. I didn't go that route though. Mostly, I just looked up names on Wikipedia, tried to keep track of who was on whose side in my head, and googled up random forum sites.
The most helpful site I managed to find was an Outlander (haha!) forum where they had a section for DD. There's a thread for each chapter with helpful information on literary references and historical locations and events. You might find this particular thread useful. It's pretty much stuff you could find on Wikipedia, but all the relevant historical background on one page. Also, there's a sticky at the top of each book's forum for a super helpful timeline of events. I referred to that timeline whenever I was reading because it was so easy to lose track of what I'd just read.
Anyway, someone might have better offline supplementary reading for you, but this was basically how I cobbled together whatever I could.