1 Thessalonians 5:21 (NKJV)
When you find something really good you want to make sure you hold on to it; you don't want to let it go or take the chance of losing it in some way. When you have something good, something valuable, something that might be irreplaceable, you will do whatever you can to hold on to it and never let it go. The first thing you need to do to have something valuable is to know if something really is worth keeping. Once you know what that good thing is you have to locate it and then you must hold on to it and not let it go.
The Bible is very clear about the fact that we as Christians are not just supposed to accept anything and everything, especially in the area of our beliefs. We have to check and recheck what God's Word has to say to know what is right, to be able to discern both good and bad doctrine. Then once we know what the good things are we should hold on to them, this is what we see in 1 Thessalonians 5:21. We find the truth and we keep our focus on it; but this is only possible when we actually know the truth. If we don't know the truth then we are in danger of holding on to something that is false.
There are some things people believe to be true because some family member, close friend, or trusted leader told them that thing. But, no matter what we have learned, every "fact" must be tested to see if it is true. We look at the things we already believe, and the things we learn, and check them against God's Word. Things that are in agreement with the established truth we see in the Bible we hold on to and things that are not biblical must be rejected. The truth of God's Word is our basis for a successful life, that is why we must prove all things and hold on tightly to what is good.