"La próxima vez lo van a pensar mejor."
Why is "lo" so far away from "pensar"? Is not lo the "it" about which they need to think? In other words, why is it not "lo pensar". (Or, maybe to confuse: why is not lo more proximal to pensar.?) Think twice means literally think two times or figuratively think and rethink. I am not sure if this phrase is anything that native Spanish speakers might come up with, because to me it is more likely an English idiom. But, I do not know.
as far as the "lo" goes you could either say "lo van a pensar mejor" or "van a pensarlo mejor". it's just the rules of sentence forming.
as far as the meaning of the sentence, "lo van a pensar mejor" does mean "they will think of it better"
if it were "they will think twice" then the spanish sentence should say "van a pensar dos veces (twice/two times)"
As an English speaker for 74 years, I think the English adverb needed is "harder" or "more carefully". This is better than the substitution of "twice" which is certainly a common idiom with the same gist as "pensar mejor" . I have never thought before how odd it is to split thinking up into units! Think once, think twice, think thrice; but each bit of thinking will be joined up by subconscious brain activity.