"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 I had not lived." ~ Henry David Thoreau, Walden
The woods are a metaphor for reality. Although it may not be easy for most people to just go to the woods in the literal sense, or live in a tiny cabin on some remote pond like Thoreau did, the application of his wisdom is still obtainable in the figurative sense.
Therefore "going to the woods" is simply a way of saying "connecting to reality," which can be done by any means that helps you remove the falseness of the outer world. It can be music, books, or engaging in some form of creative activity. Just do whatever it takes to uncover your authentic Self. And to do this, you find something that helps you to remove the outer noise and clutter, revealing only what is real.
This is why people get it wrong when they say, after having been on a relaxful vacation, "I guess it's time to go back to reality now." But what has occurred is quite the opposite: The world that was visited on the vacation was the real, natural world, and the place where you are returning is the unreal, unnatural one.
Why do you think the most popular vacation destinations are mountains and beaches? It is because nothing is false there; you feel "relaxed" when you experience nature. The scientific explanation is that your human brain has not changed much in the past 5,000 years or so; but the environment today is dramatically different: Every day you have dozens of emails, texts, and social media messages pulling you away from life; you see and hear of the worst tragedies in the world as they occur and unfold; you are exposed to countless marketing messages that suggest you be something other than who you are; and your life is overflowing with things to do and places to be.
In summary, your primitive brain is extremely over-stimulated. And it needs a periodic rest. The lesson here is that you must maintain at least some degree of awareness that the world is full of distracting illusions; and this awareness, or what you may call mindfulness, consciousness or attention, is the proverbial tap on the shoulder that tells you to "go to the woods." Your version of the woods, and the means of getting there, is up to you.