It is important to keep in mind that during the development/exploration process you are exploring the many possible solutions for a problem. Not preparing a final rendering for a client presentation. You should explore your thoughts in a way that allows you to get the most out of your time. You can always go back and further explore a thumbnail sketch you have on your exploration page. Its about quantity, quality, and letting your ideas flow onto the paper and develop into thoughtful solutions. Some designers say this is where the the idea really develops. That being said, time is always a factor and you should manage your time so you get the most out of it.
The exploration pages by Marcos Madia, Michael Roller, and Colin Jackson all illustrate the varying ways in which designers explore solutions. Some use a more traditional medium, such as pen paper, and markers, to explore and refine their thoughts.While others use a digital medium to both explore and refine the forms they are developing. All are fine examples of concept exploration and you should use the method you prefer. Most importantly you should not let the tool get in the way of your process. If you are new to the digital medium, perhaps you should stick with the tried and true method you are familiar with until you feel more comfortable.At the end of the day concept exploration is about ideas, not about presentation. Although you want to ensure that the design intent is maintained so you should make the effort to deliver clear sketches that fully convey your thoughts. Elements such as arrows and call outs help in this endeavor.