OK, far be it for me to question why you would want to write your thoughts down while you're still generating them. But I tend to think in logical 'wholes' whereby I work out the overall idea and stitch the minutae into it piece by piece, rehashing ideas when they don't fit, possibly even changing the big picture if I find it doesnt deliver what I want. Once I finally have a coherent whole that fits, then thats when I start writing stuff down. (And big picture may not even be the BIG picture, but merely a part of something thats bigger, but its an idea I had at the time and I just like to drop everything and think it all through)
Another side point to this is that I think according to medium. Some stuff I just think in words, usually planning conversations, presentations or documentation. Most often I think in a visual form - when Im doing creative writing or film work, all my ideas are played out as a movie or a visual recollection. Sometimes when Im on the piano or feel like adding music to something that Im physically seeing, I think in audio. And sometimes I just think in binary. Errr, OK, well, that last one isnt fully true. As a troubleshooting systems engineer, I come up with solutions on a given problem. I seem to have some sort of machine language (native brain language?) that I use to correlate the facts and come up with an answer. I don't know how I do it, I just blank out for a bit while my brain is working on the available information and then I resurface and I know what to do.
Writing notes to any of these as the thoughts are still happening is just simply not possible.