I dont think you can capture the entries in a sheet until enter is pressed. A possible solution may be to use a textbox to enter the digits and apply to the sheet with code.
Using a textbox from the control toolbox and some code a bit like this:
Code
Private Sub TextBox1_Change()
Static cl As Integer, rw As Long, x As Boolean
If x Then Exit Sub
If cl = 0 Or cl > 5 Then
cl = 1: rw = rw + 1
If rw > 1 Then ActiveWindow.SmallScroll Down:=1
End If
Cells(rw, cl) = Right(TextBox1.Text, 1): cl = cl + 1
x = True: TextBox1.Text = Right(TextBox1.Text, 1): x = False
TextBox1.Top = Cells(rw, cl).Top
End Sub
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The Static variables will remeber what cell you are up to if you have to click back on the sheet to fix a mistake.
You may need to enhance the code a bit to include a reset or backspace feature etc.