If I want people of other religions to consider the message of the Bible, should I be willing return the favor and read their holy books as well?
I think it depends on how serious they are and how serious you are. It also depends on what kind of person you are. Not everybody is gifted or called to be an analyzer of other people's religious literature. I think it could be dangerous—especially if the other person is just provoking you.
But if you have a serious conversation going with an intellectual person, a professor of Islam or a thoughtful colleague who takes their holy book very seriously, and you want them to consider reading the Bible, and they say, "Could we trade? We'll talk about my holy book this week, and we'll talk about the Bible next week." And if you are wired to be involved with an intellectual person at that level, then yes! I think that would be good.
I just want to avoid the train of thought that says, "In order to be a credible Christian you've got to read the Qur'an, or you've got to read the Hindu holy books, or you've got to read the book of Mormon." I don't think so.
Most people don't have the time, the inclinations or the intellectual wherewithal to read all the things in the world. And if you said the only way to have a credible faith in Jesus is to read all the options and discover all the reasons why those options don't suffice, then you'd spend your whole life, or at least a big hunk of it, reading all this stuff.
There has to be a way to read the Bible and see enough self-evidencing and validating truth—Jesus shining forth from the Scriptures winning our trust—that we know this is true and don't have to be threatened by other holy books that we haven't read. If you trust that what you have is honey, and somebody else says, "I've got another brown thing over here that is honey." But you know you already have honey, and you can tell it is honey because you've tasted it. You don't need to experiment with every brown thing that is brought to you in order to be sure that what you have is honey.