You find this creature during heat waves so what you do is lure it next to your base it will then turn to ash when heat wave is over then you build window wood walls around and put a roof then all you have to do is wait till next heat wave then take a Wyvern or flame flower and light em up!
You can get it to spawn next to your base because of the following: It always respawns at it's last location, so if the heatwave ends while you are following it you will know where it is for the next heatwave. It also chases you when you eat flowers... hint hint
This Might Take you a day or so but how I got my pheonix was i would look everywhere for a pheonix during a heatwave and you have to wait for the next heatwave to start this when you see the pheonix follow it and when it goes to the ground build a trap above where it despawned and when another heatwave starts it will be trapped: REQUIRED JERBOA AND FIRE WYVERN
Find a phenix during a heatwave and follow it until it ends. The phenix will turn into ashes and land on the ground but will spawn right back at the same exact spot during the next heatwave. Build a trap 6 blocks high so I can't glitch out and you have yourself a trapped phenix to tame:)