To finish first, you must first finish.
Winning depends on something less glamorous than speed: still being in the race at the end. The sentence repeats "finish" to make that point stick. A driver who pushes beyond what the car or track allows may lead for a few laps, but a crash leaves him with nothing. The one who keeps going steadily is the only one who can ever cross the line first.
The saying reflects racing's culture of patience and care for the machine. Rick Mears, a four-time Indianapolis 500 winner, was known as a smooth, calculating driver, so it suits him well. It may be general racing wisdom rather than his own coinage, though, so the attribution is best held loosely. It also echoes the old fable of the tortoise and the hare.
Someone writing a thesis could apply it by choosing forty sustainable minutes a day instead of a heroic weekend that ends in burnout, and by completing a rough draft before polishing any single page. Only finished work can be handed in, judged, and improved.