What was Big Willy Shakes going for?
Lady Macbeth is a teensy bit worried that her man isn't quite man enough to do what it takes to be king; he's "too full o' the milk of human kindness" (1.5.1). If her husband's going to be the powerful figure she wants him to be, Lady Macbeth's got to take things into her own hands.
And she's right. Her husband has cold feet. He starts thinking about the consequences of the murder the two of them have agreed to commit. His wavering back and forth only makes him weaker in Lady Macbeth's mind.
So she tells him to get over it. Buck up. Be a man. All that jazz.
Now that we get what she's saying, we have to figure out what a sticking place is. Well, this might refer to the place where a soldier would screw up his crossbow. If someone is stringing up his bow, he's getting ready for battle and cannot turn back. The crossbow is ready to go, and so is he.
Or, it could be a musical allusion. A musician has to fasten a peg on his instrument until it was tight and ready to be played. It has to be wound until the pitch is perfect.
When Shakespeare invented this phrase, he might have been thinking about soldiers, music, or something else entirely. Who knows? One thing's for sure: the meaning is the same. The sticking place is a point of steadfastness and readiness. Lady Macbeth wants her husband to stop waffling and commit.