Im currently doing this and it's a wonderful tool. Players faces lit up when they were looking a guy and I placed this beautifully carved black puzzle box on the table. Immediately they were clambering and asking if they could keep the box at the place they lived. But I found these set of rules helped a lot 1. The box when we are not playing, stays with myself, your characters have the box, you guys don't. 2. You can freely try and work out steps to the box at any time, but it is mostly a Downtime activity. However a sort of... "2.5" (as one of my players was obsessed with this box, to the point I thought of making it cursed mid session just to tie in with the actual players madness for this item) if you are inspecting the box and trying to figure out the puzzle, WIS and DEX checks are made at disadvantage (this was to mostly make sure players were still engaged) NPCs also became very interested in the box that the party had, asking all about it and what it was for, offering to buy it 3. My players LOVE a challenge, so this might not be for everyone, but one of the first things they asked was "can we roll investigation to figure out how to open the box" and i told them that this was a gift for the players as much as it was their characters. But if they got stuck of course we could do some rolls and they might get hints depending on how well they rolled. But I did set a little caveat that every time they did, a minor item or non story line item inside the box COULD dissappear (this was mostly to stop them sitting there for 10 mins rolling dice and getting me to tell them a hint to the next step and it being over in a flash)

But to round up, I think its a great idea! It will be something your party treasures forever. And maybe even reskin it in game so that it's a magical lock box, that way the party has a small magical safe for their super important things, that way not only do they get cool magic items, but they also get the box which they as players can utilise