We all tend and prefer to think in our mother tongue. Whether we can think in another language depends on how fluent we are in that language.
As to whether we think about the composition of our sentences I'd say that when using our mother tongue, 99.99 percent of our sentences just erupt spontaneously. We may craft the occasional gem or zinger, but for the most part our language just flows.
To speak personally, I am much more likely to compose sentences in my second languages, French and Spanish. I spend time thinking about what what will sound natural. Of course, my calculations are often mistaken.