For me, those side-investigations are often physical experiments, which run on their own time scale. Plus they often run on another computer, to reduce the risk of crashing and losing data, or just physical proximity to the experiment.

How I tie those threads together is by the data that they generate. I use ASDF because it works for the kind of stuff I'm going, but choose your poison. Once the data are in the bag, the cells that analyze or report the results can stay in the same notebook, or be copied into your main notebook. My data aren't so huge that there's much of a penalty in re-loading them.

For me, reproducibility is more important than organization, because I'm not all that organized anyway. So, a single master notebook at the end of a study isn't my top goal.