In improv comedy, then general rule is to be flexible and let the improvisation take you wherever it will. To put it another way, in improv you have a "flexible goal," and a "flexible path." (I am working on a whole matrix thing about fixed/flexible and goals/paths...)
Off-stage that approach can be nice, but you often don't want to be flexible in your goal. Here is an improv game called "Pardon" that is a good example of using the skill of having a fixed goal with a flexible path:
In this game, as soon as the bell rings I generally immediately thinks of a word that rhymes with what I just said. Then, I let my creativity fill in the details of how to A) build a sentence that gets me to that word and B) how to incorporate that sentence and word into the story I was telling. Fixed Goal, Flexible Path.
This skill may prove useful to you off-stage as well. While there is tremendous creative and innovative potential in letting yourself just flow in any direction, it's not always practical. However, being fixed in your goal doesn't mean that you can't be creative. Practice letting your mind play with different paths you can take to get to a fixed goal.
Over time you will get better and faster at this and you will not get stuck in linear thinking, even when you are unable or unwilling to change your goal.