An objective of phase I dose‐finding trials is to find the maximum tolerated dose; the dose with a particular risk of toxicity. Frequently, this risk is assessed across the first cycle of therapy. However, in oncology, a course of treatment frequently consists of multiple cycles of therapy. In many cases, the overall risk of toxicity for a given treatment is not fully encapsulated by observations from the first cycle, and hence it is advantageous to include toxicity outcomes from later cycles in phase I trials. Extending the follow up period in a trial naturally extends the total length of the trial which is undesirable. We present a comparison of eight methods that incorporate late onset toxicities while not extensively extending the trial length. We conduct simulation studies over a number of scenarios and in two settings; the first setting with minimal stopping rules and the second setting with a full set of standard stopping rules expected in such a dose finding study. We find that the model‐based approaches in general outperform the model‐assisted approaches, with an interval censored approach and a modified version of the time‐to‐event continual reassessment method giving the most promising overall performance in terms of correct selections and trial length. Further recommendations are made for the implementation of such methods.