As with most RPGs, unless there are missable, I always suggest taking your precious time to enjoy the game as a whole, and then, if you feel compelled to hunt and complete everything, do it after beating the game. However, I must confess I prefer to use a guide (like this one!) on my first playthrough for collectibles because I don't like to replay a game just for it. Ultimately, it's up to you. I tried my best to avoid spoilers, so you can keep this guide on the side while you play the game.