Is it OK to start a PhD with a side project still running from your master's? I just finished my master's and I am about to start my PhD studies. As I am very used to do many independent projects during my bachelor's and master's, I am willing to continue a side project on a fairly related topic. Actually, this is project is on a topic completely related to my potential PhD project and even during my job interview my supervisor said it is a plus for me to have experience with these kind of projects. 

I have been working on this project from second year of my master's and I worked only about 3-4 hours per week on that, so I guess I can manage to keep it as a side project. The thing is it still needs some work to lead to some acceptable results, but I'm sure it will pay off, if I can make it. Yet, learning about the methods used in the project are really helpful for my PhD project as well. The problem comes where most professors want concentration from their students and this might not be Ok with working with another researchers. Besides, my collaboration in the side project seems not to be very efficient since it is a side project for my collaborators as well.

The question is should I discuss this with my professor even if I want to dedicate some of my free time to that?  Should I risk my relationship with him in the early stages of my PhD studies (in case he is not Ok with that?)? Do I look like some trouble maker if I ask him about this? Do you think I should continue this project or just simply drop it and concentrate on my PhD project?
Let me answer in two parts:


With the right advisor, projects undertaken on your own initiative will be valued rather than seen as a problem.
You definitely need to talk to your advisor now to make sure you're with the right advisor.


Expanding on this a bit... one of the hardest things for many people to learn in a Ph.D. program is how to organize and initiate their own research portfolio.  You show signs of doing this right from the start, so as long as you are willing to accept feedback and guidance, this is potentially a really good thing.  

Whether it is a good fit for your advisor, however, depends on what your advisor's needs are at their current stage in their career.  Some professors really need their students to be focusing on particular problems that the professor currently wants or needs to tackle.  Others are able to give their students more freedom to wander intellectually.  This is partly based on career stage (pre-tenure professors are likely to demand more focus), and partly on personality (a control freak or an empire-builder will not be mellowed by tenure; a highly confident professor may give much free rein even before tenure).

So: talk with your advisor about your desires and plans.  If your advisor is receptive to the idea, great: now you can sort out how to balance things and make sure you aren't neglecting any responsibilities or making strategic mistakes.  If your advisor is not receptive, you need a different advisor.