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As the above answer indicates, this quote is in chapter 2, about 15 or 16 paragraphs in. The page on which you find it will differ depending on the edition you are using. But if you search the middle part of chapter 2, you will come to it fairly easily.
The passage is perhaps the most famous in Walden. In it, Thoreau summarizes, in memorable prose, why he chooses to spend the time he does living by Walden Pond. He says he wants to learn what life really is about, unmediated by all the busyness and consumer goods that screen us from life's essential core. Is life a good ("sublime") thing or a bad ("mean") thing? He wants to know the answer to that question, and the only way he can find out, he believes, is to strip living of all its non-essentials. "Simplify, simplify" he writes. That way...
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you can be sure you are facing the important things in life, not the mere distractions. You can be sure you are living, and not simply existing or sleepwalking through a life someone else has devised for you.
The passage is worth quoting at length. Thoreau writes:
I went to the woods because I wished to live deliberately, to front only the essential facts of life, and see if I could not learn what it had to teach, and not, when I came to die, discover that I had not lived. I did not wish to live what was not life, living is so dear; nor did I wish to practise resignation, unless it was quite necessary. I wanted to live deep and suck out all the marrow of life, to live so sturdily and Spartan-like as to put to rout all that was not life, to cut a broad swath and shave close, to drive life into a corner, and reduce it to its lowest terms, and, if it proved to be mean, why then to get the whole and genuine meanness of it, and publish its meanness to the world; or if it were sublime, to know it by experience, and be able to give a true account of it in my next excursion.