As your code speed increases during the learning process, you gradually achieve the ability to process whole groups of characters as one group of sound. Copying in your head just takes that to another level. To get there, spend some time just listening to code on the air without writing anything down. Without the need to respond to the sender, you can relax and not get all tensed up trying not miss a character. Soon, you can hold more and more of the contact in your head without diminishing your copying ability.
When you try it for real, use a piece of paper, not to write down all the characters, but to write down some topics and information for your part to the next transmission. Resist the temptation to write each letter on the paper. Soon you are ready for the next step, COPYING BEHIND.
Listen to the band, trying to relaks as much as possible without staying right up with each character. Dont force the meaning and let your brains give it to you when its ready.
Gradually the meaning pops into your head farther and farther behind the characters as they are actually received. What is happening is that your brains is doing its own form of error correcting, making sure that what you copy makes sense and taking cues from previous words and characters to fill in any blanks.
Good copying ability sneaks up on your over time. When you really hit a groove, you are barely conscious of the copying process at all. Nah!!! now CW is your second language...