It's not as important as they say
Budgeting is one way to get your spending under control. Basically you would plan out how much you want to spend on various things, and then try to stay within the planned amount. Many people swear by budgets and find them useful.
Personally I don't like budgeting. I don't think it fits my character very well.
I do find it very useful to track my spending (I use the smarphone app Moneytree, which is great if you have Japanese bank accounts and credit cards), and the data I get lets me think about how I am using money, but I don't find it necessary to set limits for myself.
Instead, I have slowly changed my attitude towards spending. Apart from books, which I have given myself a free pass on, I basically don't really buy much.
This wasn't an overnight change. I used to buy all sorts of gadgets and toys. 80,000 yen snowboard set? Yep. 60,000 yen new digital camera? Yep. 1.5m yen second-hand car? Yep, although to be fair that turned out to be a pretty good purchase as we're still using it now ten years later :)
I think the key here is to be aware of two things: the opportunity cost of spending (what else could you spend the money on), and the value you get from each purchase.
For me, I learned that I could buy productive investments such as shares instead of electronic toys I would end up throwing away. I also realized that I wasn't getting much value from the drawers full of old gadgets in my house.
One technique I found really useful is to imagine the income stream a certain amount of money could buy you. I use 4% as it is an easy number to work with. Basically divide any spending by 300, and that's how much money per month you would get for the rest of your life from investing the money instead of spending it.
So I could buy a new laptop for 120,000 yen, or I could have 400 yen a month for the rest of my life. This doesn't sound like much, until you start compounding the 400 yen by investing that too.
Basically instead of buying things I enjoy shopping for income streams. My goals are freedom and safety. Safety from monetary problems (unemployment, unforeseen expenses, having to move) and freedom to do whatever I want with my time.
How about you? How do you think about your spending? Do you have a written budget?