I am not sure that the full meaning of Beckett's quote can be understood without understanding his context as a thinker and writer.  Initially, it has to be stated that Beckett is a real complex individual.  He was a shy and courteous man in private, but in the direction of his plays, he could be stubborn and intense.  His work featured characters who struggled to find meaning.  For example, the protagonists in his seminal work Waiting for Godot are individuals who wait for a mysterious dinner guest.  They wait for meaning. They wait for their identity to be formed, where inaction gives way to paralysis of action. The way in which Beckett lived his life is one where he is afraid of this fate upon humanity.  His joining the French resistance against the Nazis, remaining loyal to his adopted home of France, as well as the fact that even at the zenith of his fame, Beckett never reveled in the spotlight or the attention and notoriety upon which  someone of his intellectual caliber could have cased in on is noteworthy of how he lived his life.

The idea of "dance first, think later" reflects how terrified Beckett is of a world of inaction.  The notion of individuals who think and overthink at the cost of action and vitality of life is something that Beckett could not embrace.  Consider his own life when faced with a critical choice of standing against the Nazis or simply withdrawing.  If Beckett, "thinks" first, perhaps he does not stand against the Nazis, allowing them to win.  His desire to "dance first," in the dance of freedom in the face of oppression is noteworthy.  At a time in human consciousness when thought and rationality demonstrated itself to a point where dehumanization and automaton reality reigned supreme, Beckett's quote demands individuals to break free from this patterned existence, one that seeks to silence individual voice and relegate it.  The idea of "dance first" as a "natural order" is Beckett's own believe that individuals can reach into or tap into an organic reservoir of humanity to embrace something that allows the world to see individuals who do not "wait" and are not "paralyzed."  Rather, the redemptive force of humanity becomes one where individuals "dance," despite the protestations of others who tell them to "wait" for something that may never arrive.