I'm not sure what being lost in thought means. For instance if you are following a line of Socratic reasoning is that being lost in thought? For instance you think, "Socrates is a man", and you are aware of this thought. Then you think "All men are mortal", and you're aware of this thought. Then you deduce Socrates is mortal,and are aware of this dedcution. So you are thinking hard, and are aware of thinking hard, but are you lost in thought? Should you not be thinking like Socrates during Insight meditation?
For instance I'm often caught up in philosophical reasoning about the process of meditation. Then, I think "Socrates is a man" is a judgment, and we're not suppose to judge, so I'll just attend to this judgement, let it go, not proceed to the next stage. But I'm also not supposed to do anything, and, so I let myself proceed to the next stage and think "Socrates is mortal".
So I'm caught in a contradiction when I attempt insight meditation - by trying not to do anything, I slip into a series of judgements, a long line of reasoning - lost in thought through applying the rules of meditation! So I have to act to stop this reasoning going on - but that's also breaking a rule of meditation. Do I have to wait until I'm all thought out? But Plato reasoned for a lifetime? How do I know if the thoughts will ever stop?
Just now, I'm not meditating much and playing a lot of internet chess - that gets away from all these Socrates vs. the Buddha problems for a short while! Is it better (for me) not to think about these things at all? Just do what I feel like, anything (non damaging!) that blots out thoughts and consciousness? Isn't that the Zen approach? "Eat when hungry", "sleep when tired", "play a game of chess, when you fancy a game of chess"...