Interesting topic and discussion going on here so I figured I'd put in my two cents' as well.
When you ask "what language do you think in", do you mean when using the language in, for instance, a conversation with someone (so relatively short in duration). In this particular circumstance I think it's safe to say that most people would think in the target language (i.e. the language they use in the conversation). Obviously, this is by no means scientifically proven (at least not by yours truly
. Whether people are always successful in doing so remains to be seen as well. IMHO, this is merely a matter of practicality: thinking in your native language first and then having to translate it to the target language can be time-consuming. Especially in conversations, this doesn't help communication.
However, if you take the same question and take it to mean "in general, everyday common use", then I'm convinced it's slightly more complicated. Most of my students (I teach English btw) will claim to "think in English/Spanish/etc" when they talk about spending some time abroad. When I ask them what their first thought was when waking up in the morning they'd say "waar ben ik" rather than "where am I", which is what the phrase states but in Dutch. This would lead me to believe that in these circumstances they haven't completely "switched" from thinking in their native language to thinking in the target/foreign language.
Personally, I truly believe it takes a very long time spent in the second/foreign language culture before you can truly say "I think in ...".
Please don't take offense at what I wrote above, as always this is my PoV and anyone's free to (dis)agree with it
Cheers,
Bel*.