To collect one's thoughts means to take time
for his/herself after a particularly disturbing event, and to get his/her mind
back in order.
Person1: Hey, what's up?
Person2: Becky and I just broke up last night.
Person1: Oh that sucks, how've you been handling it?
Person2: I dunno man, but I feel like complete
Person1: I'm sorry, how about I leave
you alone and give
you time to collect your
Person2: Good idea. I'll explain things later then.