I just started reading the Novels a few days back and I'm already half way through Vol. 4 and I have to say it is so much more enjoyable reading the Novels then watching the Anime, there are moments were my imagination is over stimulated and can't stop from reading.
Regarding the way that Azazel (along with Vali, although if you did not read the Novel you just may think as him as a mysterious character for now, or at least until the next episode) was introduce I think the anime did a better job, in the Novel he was introduce way to abrupt.