I'm the same, hate taking notes so I feel your pain but... often by not taking notes we make it harder for ourselves and double the amount of work we need to put into learning something. So it's better to learn this skill sooner rather than later. That said, for OCA you don't really need notes, instead keep your IDE open and type in any non-trivial code, see how it works, come up with your own ideas to check if you understand given topic. And obviously try some tests from whizlabs or sybex to check your knowledge before spending another €200 for the exam.
As Adrian says, running the code from learning materials or mock exams and tweaking it to explore any further questions /tangents that might occur to you is a key activity. I usually keep these explorations, including any comments I make about what I discover, and any titbits I pick up looking online to help clarify points about the language, to look back at - it's frightening how I can forget about them after a while. The only other notes I make are the occasional summary or mnemonic diagram to try to clarify or make memorable pesky bits I have mental blocks about remembering. Having said that, I have to go over much of the book(s) I use numerous times to hammer things into my long-term memory - as soon as I finish one section I've at least temporarily forgotten other aspects!
Over the years, every person has developed his or her own way of studying. For instance, I learn while writing stuff down. Not in full sentences, nor is it even legible but it helps me remember. Other people might have a more visual way of studying. I would say: do what works best for you. What works for person A might not work for person B and vice versa.
Failing an exam is not necessarily related to your way of studying. It could also be due to a lack of preparation, not fully knowing what to expect, or other reasons. From what I have heard, the OCA exam is pretty tough and it often comes down to details. Study the way it works best for you, but take advantage of available resources, such as books, video tutorials, the CodeRanch community and definitely do mock exams. They allow you to gauge your level of understanding before taking (and paying for) the exam.
All the best! And never stop believing in your self.