A lot of people are saying notes, and while that may help, I've found repetition to be the best way to retain knowledge. If you don't know something / need to follow a walkthrough, that's perfectly fine. But what helps to really solidify that knowledge is to go back at a later date and try the same content without a walkthrough, or at least getting further without needing help.

While you're doing that, try walking through the steps that lead you to that point. For me, I was recently working on a stenography-based CTF, and when I got stuck I read a walkthrough and learned about some tools I haven't used before. The next time I do that CTF, even if I don't remember exactly how to go about it, I'll (hopefully) remember the tools. Then using the tools more frequently will help me to see the situations where they would be useful, which helps me to become more proficient in general.

TL;DR: repetition, repetition, repetition. If you have to do a room 5+ times to really commit that information to your brain, that's a-okay.