You can do the characters in order of appearance in a play, or alphabetically, but the order of appearance gives you more information with the same amount of effort.
Or the plays. So, say we start with a memory palace for the plays.
There are 32 plays. In order: Henry VI, Part II, Henry VI, Part III, Henry VI, Part I, Richard III, Comedy of Errors, Titus Andronicus …
We will use your home as the first memory palace. I don’t know your home nor how your brain works, so please adjust accordingly. We’ll assign five plays to each room. If that’s too many rooms, then go out the door and into the garden or down the street. My Countries ‘palace’ goes through the whole house, garden and down to the bakers and back home again. They can go forever!
Start at the door of room 1. You will put Henry VI part II there. You need to see an image in your head which you associate with Henry VI Part II and that doorway. Wiki says ‘2 Henry VI focuses on the King’s inability to quell the bickering of his nobles’. So I would imagine myself trying to get through the door to the first room pushing past Henry VI and all the yelling nobles. The more vibrant the image, the better. Swear at them until they let you through. Have Henry in two parts - you fight his upper torso first then his lower torso. Whatever works for you.
You then have four walls - always go in the same direction around each room. I go counterclockwise for some reason - no idea why. It just seemed natural. On the first wall you have Henry VI Part III which Wiki says is ‘3 Henry VI deals primarily with the horrors of that conflict [Wars of Roses], … chaos … barbarism… moral codes are subverted in the pursuit of revenge and power.’ What fun! I would imagine Henry in three pieces, all bloody and cut up with soldiers fighting with rose branches, thick with thorns and making a bloody mess all over MY wall. You may well have something on that wall which links to this image well.
Wall two, theoretically in front of you as you enter the door (having fought off the nobles and two bits of Henry) is Henry VI Part I. (The order of the plays is not helping here!) It’s about the preparations for the wars of the roses. So I would have Henry (now a whole man for Part I) preparing his rose swords. If there is a window, watch him doing so through the window. Cutting the rose branches, testing the thorns for sharpness.
Wall three - location 4 - is Richard III. Crocked back (exaggerate until it is ridiculous), nephews in the tower - you need to associate that character (however you visualise him) with the third wall and whatever furniture you have there. Something which can represent the tower, maybe? Or bend over as you examine something, associating that location with a bent back? The more you move and act when you put in the links, the easier it will be to remember.
Wall four is the Comedy of Errors. If you know the play, then associate the strongest image you have of it with that wall. I would stand at the wall and laugh out loud, then note my error and start crying. Or something silly. But you will have your own associations.
Next is Titus Andronicus. I know nothing about that play, but the name makes some very suggestive images when I play with those words. Everything you associate is only in your mind so it can be as vulgar as you like. The ancient Greek text book on the method of loci suggest making you images grotesque, vulgar, vivid, active, violent … anything memorable. So you associate that with the entrance to the next room.
And so on. Don’t do it too fast. Ponder each image as you go and they will stick better. Physically go to each location and it will work more effectively. The order is then fixed in space, in your memory palace. The order cannot get mixed up. You can start from anywhere, go forward and backwards and add as much information to that location as you want. You can just go to any play and get the information about that play from that image by building it into a more an more complex and active image.
Your home becomes your memory palace, and it becomes alive with characters and actions. It is immense fun. Then you can link any play to another memory palace with the characters for that play in order.
That’s the starting place. You can go on from there. Please let me know how you go!