Yes, I keep a list. It's done in Excel. It includes general wish-list items ("trench," "ponte knit pants," "moto jacket" etc) and also specific links to possibilities found on the internet - with prices. This spreadsheet also keeps track of my coupons so i use them before they expire.
I do browse online first at the stores that are near me and which, through experience, I know generally work well for me (size, fit, budget). But usually I like to try on in person before I buy. If I'm looking for something specific to go with something I already own, I wear that item to the store.
With that said, I am also known to buy impulsively. Some of my favorite items are ones that were never on my wish list and I saw them in the store and they just called my name!
I usually have more fun with the shopping trips that are "just for fun" - i.e., I am not on a concerted hunt for a specific piece. I can get REALLY frustrated if I'm looking for, say, a cream trench coat with black buttons. I'm hard to fit and I'm picky so such a shopping excursion will only end up in a trail of tears. I do much better when it's more of a "I will check the coat section first, then swing by and see what they have for pretty blouses next, and maybe browse the jewelry if I have time" kind of trip.