Chain-of-thought (CoT) reasoning has significantly improved the performance of large multimodal models in language-guided segmentation, yet its prohibitive computational cost, stemming from generating verbose rationales, limits real-world applicability. We introduce WISE (Wisdom from Internal Self-Exploration), a novel paradigm for efficient reasoning guided by the principle of \textit{thinking twice -- once for learning, once for speed}. WISE trains a model to generate a structured sequence: a concise rationale, the final answer, and then a detailed explanation. By placing the concise rationale first, our method leverages autoregressive conditioning to enforce that the concise rationale acts as a sufficient summary for generating the detailed explanation. This structure is reinforced by a self-distillation objective that jointly rewards semantic fidelity and conciseness, compelling the model to internalize its detailed reasoning into a compact form. At inference, the detailed explanation is omitted. To address the resulting conditional distribution shift, our inference strategy, WISE-S, employs a simple prompting technique that injects a brevity-focused instruction into the user's query. This final adjustment facilitates the robust activation of the learned concise policy, unlocking the full benefits of our framework. Extensive experiments show that WISE-S achieves state-of-the-art zero-shot performance on the ReasonSeg benchmark with 58.3 cIoU, while reducing the average reasoning length by nearly \textbf{5$\times$} -- from 112 to just 23 tokens. Code is available at \href{https://github.com/mrazhou/WISE}{WISE}.