For a while I had a phone with a draft feature, where I could:

• Open the phone and press left+down on the keyboard, to bring up the Compose screen and select the main message field.
• Type whatever was on my mind; as Vladimir Golovin says, usually just a word or two to remind me of the thought rather than the whole thing.
• Close the phone, which automatically saved the message to the Drafts folder.

I managed to form a habit of looking through the folder when I had a spare moment and sorting the drafts into more specific folders. Most of them got ignored after that, but I prefer that to the constant nagging feeling of having forgotten something.

Moving messages seemed to get slower the more messages and folders there were, but it probably would've stayed manageable if I'd sat down and moved unneeded ones in bulk to a PC once a month; that might be easier now than it was then, since I have a smaller Bluetooth dongle that can be left plugged in to my laptop at all times.

I don't know about thinking of things while typing something else, though; my problems have more to do with focusing on one thing long enough to type something as long as this post.

When I read something online that I think I might want to remember later, I save it to my main flash drive in the folder f:\whatnot\(subject), generally using a key sentence or phrase as the filename.

I don't know how much of this is normal or obvious for other people.