Use capital letters and punctuation. These are necessary! Make sure spelling and grammar are right as well. These are basic technical issues, and easy to fix. Here's your corrected text: "I have a big problem with my written English. When speaking, listening and reading I do well, sometimes very well, but I still don't now how I can write correctly. Do I have to know every single English word to be able to do so?" You can post future texts for correction here: http://www.italki.com/notebook

I would suggest you read books and articles to get a good grip of sentence structure! Try books such as "Mr Men" which are normally aimed at kids, so they have basic language and sentences. I think this would help you a lot!

I have the same problem writing the language I am learning--Spanish. You can "get away" with errors when you are speaking. When you are writing, the errors are all there and easy to see. I think writing correctly is more difficult than speaking fluently. It's as simple as that. It's harder, and it takes longer.