Actually Hickok joined Cody on stage performing skits (sorta) way before the Wild West Show was born. He hated it after a while and left to return to the west.
There is much info about Hickok out there but most of it is bogus, Rosa's books were the first to actually track down historical documented information on Hickok and try and bring the man out of the myth.
Another book I'd like to recomend is "Wild Bill Hickok & Calamity Jane - Deadwood Legends" by James D. McLaird. It is published by the South Dakota State Historical Society Press and is an excellend read - it goes over the history of Wild Bill and Calamity separately and then how they were tied together in myth in the 20's. McLaird uses Rosa's books and others as references and creates a easier read for someone that wants to learn the true fact about both figures of the old west.
It also has one of my favorite (and rare) photographs of Hickok on the cover (which was what drew me to the book).