Many people do that sort of thing (though most that I’ve heard that do that are Protestants. The reason? Catholics generally try to look at scripture as a whole - which is why at Mass, we hear from long passages, not just individual verses taken out of context). I would honestly find doing so to be quite distracting from my reading, anyway. Catholic Bibles already have footnotes (though some translations have better footnotes than others - the NAB, while a decent modern language translation, IMHO, has horrible footnotes in places) and cross-references already marked in the text. And I find that every time I read through the Bible, I discover something new - and God speaks to me in a way that I wouldn’t get otherwise. I would think that having in-text notes would prevent me from doing this - or, would become messy as my understanding changed over time. Also, one has to be careful. Many Bibles are printed on tissue-thin paper, and ink could seep through the pages.
But congratulations on wanting to understand the Bible! My suggestion, though, would be to get a good Catholic concordance (with proper Imprimatur and Nihil Obstat) to go along with your Bible - it’ll help you understand the Catholic teachings in even the most difficult of passages (like when it appears, in the OT, that God is advocating genocide).