Ideate
This is often where projects start! This can be risky if there is a poorly defined focus and little idea of how to test assumptions and validate success. So here, we try to build on our foundations of research and insights, and begin to make things that may become the solutions that we finally deliver to users. Here, we again strive for divergent approaches and thinking, and we continue to test our assumptions and validate our understanding.
This is where concepts and plans become more tangible. It is a good idea to start with sketching on paper. It provides a fast, low-risk, low-cost way to generate lots of concepts. You can then validate, iterate, test, and refine before choosing a particular direction.
Sketching allows many degrees of flexibility, whether it is done individually, in pairs, or in groups. It is a productive, adaptable way to begin working with concepts.
And yes, you can absolutely have sketching and idea sessions with users. Those are called co-operative design (or co-design) sessions and can be very useful for getting immediate validation on potential ideas.

If you run a design session, you may want to start with some gamestorming activities to get people thinking creatively before starting to sketch out ideas.