Going from Good to Great with Complex Tasks, Ozgun Atasoy explains that the belief that consciously thinking about what we are doing, when performing complex tasks, by definition harms our performance, is wrong. It is true that some type of conscious thinking can harm our functioning. For example, when we are typing on a keyboard, we run largely on auto-pilot. If we would try to consciously control the typing of each separate letter, this would slow us down a great deal and probably cause us to make many mistakes.
But, as Atasoy explains, when we are performing complex tasks, running on autopilot (performing it with little cognitive control/engagement) leads to sub-optimal performance in the sense that our performance becomes rigid. We lose the ability respond to unexpected events. Also, the task is likely to become boring, this way.
While low level conscious control is impossible (as explained above), high level control is possible and is likely to improve our performance. For example, a pianist cannot control low level activity (which fingering shall I use for this chord?), and should not run on auto-pilot (without cognitive control). The pianist can play with high level cognitive engagement by focusing on higher level mental events or concepts such as the type of emotion the piece should express. For example, an experiment by Ellen Langer demonstrated that an orchestra performed better when increasing their high-level engagement when performing a symphony. So, the key is, as Atasoy says, to stay consciously engaged, but in the right way, by focusing on high-level concepts.