This homely advice gets quoted many times on the Internet--usually without the reference to Bacon and the necessity to carry "something to write with." It's perhaps strange that he does not mention "something to write on" as well because paper clearly was not as ubiquitous as it is now. But what follows is more interesting, I think:
Write down your thoughts upon any point as far as you have any time pursued them, and go on with them again some other time when you find your mind disposed to it, and so till you have carried them as far as you can, and you will be convinced that, if you have lost any, it has not been for want of strength of mind to bring them to an issue, but for want of memory to retain a long train of reasonings ... and so the train having slipped the memory, the pursuit stops, and the reasoning is neglected before it comes to the last conclusion. If you have not tried it, you cannot imagine the difference there is in studying with and without a pen in your hand. Your ideas, if the connexion of them that you have traced be set down, so that, without the pains of recollecting them in your memory, you can take an easy view of them again, will lead you farther than you could expect.Locke is clearly aware of the fact that writing engenders more writing. And that thinking with "pen in hand" is really the only kind of thinking worth engaging in. "Pen in hand" is, of course, largely metaphorical today. The basic idea is that you have to "externalize" your thoughts in order to develop and refine them. If you keep them in your head, they tend to dissipate and develop only with great difficulty.