I can make a few observations on this:
For the most part, I have to force myself to think in my target language. That is, I have to make a conscious effort to construct sentences in my head, ask myself questions in my TL, and summarize things in my TL. (Others have pointed out that we don't really "think" in any language, but I think this question refers to the process of mentally talking to ourselves in a particular language).
There are exceptions to what I just wrote:
1. I find that even after a short amount of time reading in my TL (10-15 uninterrupted minutes) , I start to think in my TL until I start using English again (English is my native language). I have spent hours watching television in Spanish but for some reason, reading always does the trick while television doesn't automatically "switch my brain over to Spanish". I think the reason for this is because when we read, we are coming across many, many, more words per minute than we ever would while watching television. Also, TV can be distracting and we may be watching something but our brains may be elsewhere.
2. If I am actively conversing with somebody in my TL, I start thinking in my TL without any second thoughts. The longer I am interacting with them, the more automatic it becomes. After an hour long chat with a friend, I find myself thinking in Spanish long after we have parted ways. If I exchange a few words with somebody in Spanish, that usually isn't enough to get me to start thinking in my TL.
And finally, if I spend time in Mexico or another Spanish speaking country, I find myself thinking in Spanish (my TL) almost exclusively. This seems obvious, but whenever I'm in Mexico I go out of my way to avoid English and only use Spanish.
So a summary of what I just wrote would go like this: the longer I use my TL on a particular occasion, the easier and more automatic it is for me to think in that language. If I'm not in an environment or situation that requires me to use my TL, I have to constantly remind myself to "think" in Spanish or it doesn't happen that often.
I want to point something out again: Reading has been incredibly helpful to me as a warm up exercise and a way of immersing myself in my TL. When I had a tutor, I spoke so much better on the days I was able to read for a few minutes before practicing compared tot he days I just jumped into conversation. Give it a try and I think it will help you think in your TL with less effort.
Super Challenge: :
Spanish books :