I would like to read Lucifer's story from the very beginning which I know started in a Sandman comic book issue. Which are the Sandman comics that involve Lucifer and after that do I read the books?? A little guidance would be helpful
TL;DR: Read Sandman volume 1, 3, 9; Sandman Presents: Lucifer #1-#3, Lucifer: Nirvana (one-shot) and the Lucifer series by Mike Carey (75 issues) - preferably in this order.
The Sandman volumes are important because they show how Lucifer abandoned Hell and moved to LA to run a nightclub called Lux (which is shown in latest Lucifer television series). The rest of Lucifer's solo career takes place after these events.