I have found Rudolf Steiner's instructions and exercises concerning 'how to do' primary thinking (or, what he terms pure thinking, or his type of meditation) - which is the same thing as attaining Final Participation - to be misleading and indeed counterproductive; since they 'concentrate on concentrating' - on attaining a thought and holding it, expanding it etc...
In the first place, this method splits the mind into that part which is doing the concentrating, and the results of that concentrating. Secondly it is insufficient - from personal experience, I could concentrate in the prescribed manner (e.g. when I was doing theoretical science) long before I could do primary thinking. Thirdly, and consequently, the results of this concentration style of meditation are misleading (because it is easy by concentration to 'force' thinking towards pre-determined conclusions, and thereby create false content).
Fourthly and most tellingly, it doesn't seem to work. After all, this was not how Steiner himself learned to meditate, so there is little reason to suppose that other people could get to where Steiner was by using a different method. Also, the capacity of his exercises to induce 'clairvoyance' in the many members of the Anthroposophical Society who have followed then, seems (to the observer) to be a near-total failure.
If not, then what?
We need an 'external' technique of holding attention - of stopping it being distracted, or sliding around. For me this can be taking notes, reading short passages, drawing 'doodles' - essentially with a pen in the hand. Others would need to find what worked for them.
What to think about? That depends on your motivation, here-and-now. Motivation is one of the keys: it needs to be some-thing that you really want to know, to think-about.
Steiner, by contrast, prescribes arbitrary subject matter for his thinking exercises (this plant, this stone...). This seems like seriously bad advice: ineffective, because the motivation for arbitrary thinking will surely be feeble; and also (in a sense) arbitrary motivation is immoral, because this is trying to use primary thinking for frivolous or expedient purposes (and primary thinking, being in the realm of reality/ truth/ beauty/ virtue, will not - indeed cannot - be so used).
Once the attention has being controlled by some such external means, the whole of the mind can fill the activity of thinking from the deep and true self. It wells-up. And leads to further notes/ doodles etc. just as a way of holding the line; while allowing it to develop by internal logic.
The key, though, is metaphysical - it is to acknowledge the validity of thinking; the validity of the process, content, findings... We need to internalise the fact that primary thinking is not constrained by what we term 'evidence'; because primary thinking happens in the domain of universal reality, hence it is necessarily true.
(This is a delight to observe - in full consciousness: the emergence of truth, quite naturally, spontaneously, fluently, and without boundaries. This is also why the kind of wound-up state of concentration is hostile to the process.)
The content of primary thinking is intrinsically valid in and of itself - so we want to be attentive but relaxed, as it comes-forth.
Of course, summarising, recording, transmitting this primary truth makes the resulting communications prone to all sorts of possibilities of error, distortion and misunderstanding - if we try to use this knowledge.
But the direct knowledge of primary thinking is itself is pure, real, and true.