I'm a huge Steven Erikson fan, and I adore his stories involving Bauchelain and Korbal Broach - a demonologist and necromancer (and one cannot forget their manservant Emancipor Reese). The tales involving these three are always full of dark humor and a high body count. Like all of Erikson's stories there is a lot of banter between characters, and creative use of language. In some of Mr. Erikson's more serious works this can get pedantic with characters waxing philosophical. As much as I love his dialogue it sometimes seems as if Mr. Erikson loves it even more - to the point of excess. However, not to worry about that with any of his Bauchelain and Korbal stories. They are generally quite short - either set up as a collection of short stories, or, as in this case, a novella. So, while he definitely indulges in a great deal of back and forth between characters it isn't enough to become tiresome and serves to move the story forward.
While it isn't absolutely necessary to have read any of the prior stories involving these three, it would be worthwhile to have read at least one in order to be familiar with them and their world. They are introduced in "Gardens of the Moon", the first in Erikson's Malazan Empire series (which I highly recommend), but that may be too much of a read for some folks. For that reason I would be more likely to recommend "Bauchelain and Korbal Broach: Three Short Novels of the Malazan Empire, Volume One" as a starting point. That collection includes "The Lees of Laughter's End" which precedes the events in Wurms.