  I dug out my old textbook.  Seems that given the transfer function in Laplace form H(s) you evaluate for H(jω) and convert to magnituded and phase H(jω) =A(ω) e j φ(ω) and plot A(ω) vs φ(ω)  on polar paper for the Nyquist plot.  You need to label points along the curve with the ω but you can display the whole -inf< ω < inf on one page.  I don't remember using these either, we did a bunch of Bode phase plots though.  Can you just take the data you used for the Bode Phase plot and change it to polar graphing?  