It depends. If it's an interesting problem I have to work on, but I can't right away, I think about it as I'm going about my day. Driving, cooking dinner, rotting in a meeting. Then by the time I get to finally do it, it's close to a fully-formed solution.

If it's a problem that I have to address right now, it's more like prototyping the first idea that comes to mind and then debugging and refining and being more critical.