If Bruce Schneier says that you should write down your password, then write down your password. What he means is that given the choice between having a weak password that is so easy to remember that you do not need to write down and a strong password that you do need to write down to remember, it is better to go for the strong password. However, the problem of online identity management is much more complicated. Note that even the terminology is broken. We need to distinguish "online reputation management" which is about managing your personal brand online, with "online identity management" which is about managing how you authorize yourself with websites. Often, the term online identity management is used for online reputation management.
The problems of online identity management starts long before you need to provide a password. First you have to provide a user name. Each site has its own rules about what your user name should be. About half of web sites use an email address as a user identifier, while the other half insist that you play the game of user name roulette where you have to keep guessing a user name until you find one that has not been used. I have enough different user names that I have to write down my user name for each site, before even thinking about writing down a password.
Next problem is the large number of sites where you have an account. I have about 70 sites where I actively maintain a user identity, and there are many more sites where I have registered an identity and then abandoned. Of those 70 site, about 15 are sites like banking sites that are important to protect with a strong password.
One site that is particularly important to protect is your email account. Use a strong password with your email account and do not use that password on any other account. If your email account is compromised, you are in a lot of trouble. For example, many sites allow you to reset your password by mailing you a new one. Remember, an attacker who gains access to your email account is able to read your email including emails from other sites where you are registered. Many sites store your email address and password, so if they are compromised, and you use the same password for all accounts, the attacker has got your email address and the password to the account.
Another serious problem is any account that gives you access after answering security questions. The security questions are effectively another password and they encourage answers that are easy to guess. You are better giving nonsense answers to security questions, except for the fact that you now need to write down the answers to those questions as well. All in all, online identity management is a pain.