Man, I really needed this when I was studying OE. I was trying to do the Alice in Wonderland book and an Oxford textbook but it was really a lot of work compared to other language learning (even compared to Latin). This would have made it a lot more fun.
The link above mentions Ørberg who did something similar for Latin (Lingua Latina Per Se Illustrata, ebook and audiobook), which I've read through with good success. It's known as the immersive Ørberg method after him.