What does this William Penn quote mean?

I beg to differ just a bit with the first interpretation given.

I think that it means that men (people) will speak or act without enough forethought (Consideration).

"...his second Thoughts rarely agree with his first..." means that if one does stop and think, one's first thought or reaction turns out to be wrong in some way. Those thoughts don't "pass...without Retrenchment or Correction." Retrenchment is modification, as is Correction.

This person goes on to say that the second thought (that sensible Warning) doesn't change people's behavior, i.e. "not Precaution enough for his future Conduct."

The advice "Think twice" is what many people don't follow, and even if they do think twice, they ignore their second thoughts even or especially when they should be listening to their second thoughts.

If you want some evidence of this, look at a good number of the answers people write here on Yahoo! or look at the comments that people write on various websites. They write the first thing that comes into their heads with no consideration.

Your quote was written in a rather formal style used three hundred or so years ago. The capitalization of Nouns is similar to the style of written modern German.

It means all too often men speak before thinking. Break it down...

"The want of due Consideration (giving thought to, discussion, debate) is the Cause of all the Unhappiness Man brings upon himself. For his second Thoughts rarely agree with his first, which pass not without a considerable Retrenchment (use resources carefully) or Correction. And yet that sensible Warning is, too frequently, not Precaution enough for his future Conduct."