I'm not sure if this is common knowledge, but I just noticed this and thought I'd mention it in case it helps anyone else.

I missed a Phantom Train bestiary entry and didn't notice it until 6 game hours later. I still had a save file in the Phantom Train, so I loaded it up, got the monster I missed, saved my (old) game. Then I loaded my newest save back up and I had the entry. It looks like bestiary entries are shared across all saves and it doesn't matter when you get them.