As a multi-lingual person myself, I can tell you that I indeed think in different languages, depending upon context. Usually I think in my mother tongue, but especially when thinking about interactions with native speakers of another language (planning what I'm going to say, or thinking over a conversation from the past,) my subconscious dialogue occurs in the language of that other speaker. For example, I'm thinking about this question in English, because that's the language we're using, bimkom Ivrit, l'mashal (instead of Hebrew, for example. :) Also, when thinking about subjects which I've learned in my second (or third) language, I often think about them in the language in which I learned that subject, even though I can discuss the topic in my other languages.

More interestingly, as people learn new languages one of the better signs that the language is becoming internalized is when they start dreaming in the new language. As I learn a new language I look forward to those dreams in that language, because it shows me progressing to the deeper level of understanding in that tongue.