f2,
I used to make lists, crossing stuff out, then rewriting onto new lists, etc. Basically, very similar to you.
Now I keep everything on a master to-do list on my computer. For very short term stuff I write stuff on post-it notes. But I make myself get everything onto a list on my computer as soon as possible.
I've found that putting even the tiniest things on the list really helps me keep on top of things. I can review and reprioritize whenever very easily.
I use Outlook, but anything is fine, even just a list in notepad really. If you Google "online todo list" you'll find lots of interesting products.
http://www.backpackit.com/ is one that a lot of people speak highly of.
People have mentioned GTD. I think it has a lot of good points, but overall has way too much overhead and much of the techniques I think are far too rigid. However, I agree with one major point there. I think putting every single thing you think of on a todo list definitely helps free your mind and let you concentrate. I have a great memory, so my natural inclination is to keep everything in my head and do mental reviews "OK, let's see what else do I have to get done today?" trying to remember everything. Getting all that stuff out of my head and onto a list on my computer definitely helps reduce my stress and keep me more organized. I'm talking about the smallest stuff like, "Oh I'm out of aluminum foil." I put a note onto the "Go to grocery store" list item and then it's out of my mind. Sounds silly and standard and simple, but doing this for every little thing is a tough habit to get into.