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We are not told this explicitly, so we have to infer a reason. In my view, O'Brien holds off because that is the best way to really crush Winston and take all the rebelliousness out of him.
We know that the Party doesn't just want to get rid of rebels. If that's all they wanted, they would just kill them instead of going through the process of trying to change their minds. It is important to the Party that people should not even want to rebel.
If O'Brien had arrested Winston right away, Winston would not have been so crushed. But look what actually does happen. Winston gets to have his affair with Julia and he gets to believe that there really is a rebellion against the Party. These things get his hopes up. Once his hopes are up, being arrested will crush him emotionally much more than being arrested immediately would have.
So, O'Brien holds off so as to get Winston's hopes up. This makes it easier to completely crush his soul and his resistance and make him end up loving Big Brother.
This is an excellent question to consider, and of course the novel never openly tells us the answer. What we need to do therefore in order to think of the reason why this question is left unanswered is to consider what we know about the Party. They do not want to simply kill those who oppose them and Big Brother. They want to psychologically dominate them and brainwash them into loving Big Brother. This is of course shown in one of the most depressing and momentous quotes in the whole book, which comes at the very end, when Winston Smith realises that they have succeeded in this and that he loves Big Brother:
But it was all right, everything was all right, the struggle was finished. He had won the victory over himself. He loved Big Brother.
Therefore, we can infer that the Thought Police delayed for so long before arresting Winston and Julia precisely so that they could study them and work out how to turn them, discovering their secret fears and what they could use against them to torture them into believing in the idea of the Party and Big Brother. The incident in Room 101 clearly shows this in action, as O'Brien seems to instinctively know what Winston is most afraid of.
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