The First Step
The first step on the path to truth is superstition. We all start there, and should acknowledge that we start there.
Superstition is, contrary to our immediate feelings about the word, the first stage of understanding. Superstition is the attribution of unrelated events to a common (generally unknown or unspecified) cause - it could be called pattern recognition. The "supernatural" component generally included in the definition is superfluous, because supernatural merely refers to that which isn't part of nature - which means reality -, which is an elaborate way of saying something whose relationship to nature is not yet understood, or else nonexistent. If we discovered that ghosts are real, and identified an explanation - overlapping entities in a many-worlds universe, say - they'd cease to be supernatural and merely be natural.
Just as the supernatural refers to unexplained or imaginary phenomena, superstition refers to unexplained or imaginary relationships, without the necessity of cause. If you designed an AI in a game which, after five rounds of being killed whenever it went into rooms with green-colored walls, started avoiding rooms with green-colored walls, you've developed a good AI. It is engaging in superstition, it has developed an incorrect understanding of the issue. But it hasn't gone down the wrong path - there is no wrong path in understanding, there is only the mistake of stopping. Superstition, like all belief, is only useful if you're willing to discard it.
The Next Step
Incorrect understanding is the first - and necessary - step to correct understanding. It is, indeed, every step towards correct understanding. Correct understanding is a path, not an achievement, and it is pursued, not by arriving at the correct conclusion in the first place, but by testing your ideas and discarding those which are incorrect.
No matter how much intelligent you are, you cannot skip the "incorrect understanding" step of knowledge, because that is every step of knowledge. You must come up with wrong ideas in order to get at the right ones - which will always be one step further. You must test your ideas. And again, the only mistake is stopping, in assuming that you have it right now.
Intelligence is never your bottleneck. The ability to think faster isn't necessarily the ability to arrive at the right answer faster, because the right answer requires many wrong ones, and more importantly, identifying which answers are indeed wrong, which is the slow part of the process.
Better answers are arrived at by the process of invalidating wrong answers.
The Winding Path
The process of becoming Less Wrong is the process of being, in the first place, wrong. It is the state of realizing that you're almost certainly incorrect about everything - but working on getting incrementally closer to an unachievable "correct". It is a state of anti-hubris, and requires a delicate balance between the idea that one can be closer to the truth, and the idea that one cannot actually achieve it.
The art of rationality is the art of walking this narrow path. If ever you think you have the truth - discard that hubris, for three steps from here you'll see it for superstition, and if you cannot see that, you cannot progress, and there your search for truth will end. That is the path of the faithful.
But worse, the path is not merely narrow, but winding, with frequent dead ends requiring frequent backtracking. If ever you think you're closer to the truth - discard that hubris, for it may inhibit you from leaving a dead end, and there your search for truth will end. That is the path of the crank.
The path of rationality is winding and directionless. It may head towards beauty, then towards ugliness; towards simplicity, then complexity. The correct direction isn't the aesthetic one; those who head towards beauty may create great art, but do not find truth. Those who head towards simplicity might open new mathematical doors and find great and useful things inside - but they don't find truth, either. Truth is its own path, found only by discarding what is wrong. It passes through simplicity, it passes through ugliness; it passes through complexity, and also beauty. It doesn't belong to any one of these things.
The path of rationality is a path without destination.
Written as an experiment in the aesthetic of Less Wrong. I'd appreciate feedback into the aesthetic interpretation of Less Wrong, rather than the sense of deep wisdom emanating from it (unless the deep wisdom damages the aesthetic).