I have an interesting couple of experiences around this.

English is my first language and I took Spanish in school for five years. I recall very distinctly the progression. At first, I had to translate everything in my head so I was still thinking in English. At a certain point I could think in Spanish as long as I was able to follow everything pretty much exactly. New words or unclear constructions made me revert to English to get my bearings, then I'd flip back. A little beyond that, when I started reading Spanish language literature and listening to song lyrics, I was able to not only read familiar stuff but sort of puzzle out the meaning of more artistically or creatively crafted language. What is most interesting about that is that I stopped with silent verbal thinking, where my thoughts came to me as words being spoken in my head, and the concepts themselves were in Spanish with no real words attached. It's hard to explain, I hope that makes some sense. It's been almost 20 years since I was in a Spanish classroom and I still think in Spanish sometimes and have dreams in Spanish all the time. It's pretty crazy.

I picked up Portuguese entirely from listening to spoken language that was not in a formal pedagogical environment. I was able to think in Portuguese much more easily than when I first learned Spanish, skipping the translation thinking phase. But that might be because the two languages have a ton in common and I already had practice thinking in a second language.

What was really, really strange is that I learned Russian on my own as well, but entirely from reading. I taught myself the phonetic system and all that, but there is no inner Russian voice in my head whatsoever. It's entirely a visual and cognitive process with no spoken component at all. I can understand the most basic aspects of spoken Russian, but I can't do it myself. You know how everyday spoken language differs from written stuff? I have no concept of Russian speech patterns -- assuming Russians don't actually talk like the dialog in Anna Karenina. So I can think in Russian, but it's a lot more visual thinking where words and images pop into my head simultaneously, but it's usually just objects and their Russian word. As a result, I tend to think in nouns and verbs, and not really in complete thoughts or complex concepts.