In Arcanum Unbounded, he lays out how that has happened with a series of short stories and novellas from several of his worlds, with explanations from a single character who has provided context and appendices for individual novels throughout the Cosmere.

I feel there isn't much more to say. The works are individually engaging and immersive, and are woven together with a fine touch that keeps them separate despite their obvious connection. This one is a must-read for any Sanderson fan.