I don't recall seeing anything about doing this in the manual, or any videos I've seen ...
Earlier today, making some coffee or something else inane, it suddenly came to me to try FIRST setting up empty pattern chains, THEN record those patterns live while the track runs in Chain Mode.
Works great!
Perhaps it's an obvious thing. I thought it was pretty nifty.
EDIT: Imagine, using this method, you could record up to (4 bars per pattern x 16 patterns per chain) 64 bars in a single go!! One big long run. Or however many bars you want, from 5 to 64.
And then different scenes can have their own chains (IIRC) .....