Yep, might as well collect them. Keep the best ones. Then when it comes time to set, remove the oldest as necessary.
I got another little egg from my banty cochin today. I'm already on day 2 with the chicks, and setting the quail tomorrow, but I'm putting that egg in there too. I want to at least see if it will develop. Higher humidity for a couple extra days on the end shouldn't hurt it, cause its really small. If nothing else, its worth the experiment.