They give you a sheet of blank paper per station. I used it to write the pt's name and vitals, then I took notes during the history, not for the physical.
I tried to make eye contact as much as possible, and definitely did not write notes if the patient was conveying concerns or asking a "tough" question. However, during most of the history I was looking up and down.
The notes were helpful to write the Patient Note afterward. It would be quite a lot to memorize, full HPI, ROS, PMH, PSH, Meds, Allergies, SocHx, SexHx, FamHx, and sometimes an Ob/Gyn Hx. After doing this a few times, things can run together. Its up to you, I don't know how good you are at memorizing/purging/memorizing.
I think almost everyone writes notes, so the SPs shouldn't be surprised if you do too. Just try your best to make eye contact when you can, like when you introduce yourself, when you counsel, when you answer the tough question, and when you close the encounter.
Hope this helps.