You mean CK -> EU -> Vic -> HOI?
I tried it once, but didn't finish CK :rofl:
I did EU2 -> Vic:Rev -> HOI2:Arma once as Brandenburg/Prussia/Germany. By the end of EU2 I had conquered most of Germany and had many factories and colonies. So by the start of Vicky I was a mega superpower compared to the rest of the world. It was my first real game of vicky, but it was too easy. After vicky I started HOI and I had so much IC I didn't have enough resources.
So yeah, if you do it you have to limit yourself and you have to mod the games extensively or else you'll get really weird stuff.