Yes, I do also feel very frustrated when I have to stop working on something before it is finished, specially if it's that long debugging session and you have all in your head, but you just have to stop and go do something else.

Talking specifically about code, TDD really helped me, seriously, the red-green loop makes me comfortable to stop any time the tests are green, then I commit, which means that I also have very small commits which also help me with the interruptions once I'm back.

To not miss what I was thinking ahead, I always to keep a todo list (I just use Notes) of everything that comes to mind that I still need to fix or code which I postponed from the current commit, so I don't loose track while at the same time it frees me to focus on a specific thing at a time.

Now sometimes this does not apply, sometimes you just need long, deep and uninterrupted focus, like thinking about the perfect abstraction for something, or those long debugging sessions I mentioned. For those, I try to be sure to block some time or I don't even start it on that day