I started reading Mad when I, about 6, and I also remember feeling like I was getting away with something. This was mostly because, any time I didn't get a joke or reference, I assumed it had something to do with sex.*
*This rule also applied to movies. For example, in Ferris Bueller's Day Off, I didn't know what the word "catatonic" meant. I, therefore, assumed it had something to do with the sex act.