There are some notable differences in events especially in season 5-6/book 6. I had watched the show first, but I would say finish book 6, then watch the show for some nice imagery for the last 3 books.

Without spoilers: some of the characters of the books are omitted and made into (imo) stronger composite characters for the show who play slightly different roles than their book counterparts, but isn't largely consequential to the final books. It's more less your choice which medium you enjoy more, as book 1-5 and season 1-5 play out essencially the same.