yes, all the time, sometimes I even catch myself telling someone smth and then in my mind I think of an English word which would suit best but I can't recall how is it in my own language
I'm from Germany and I only used to talk English in class, but I when I lived in the U.S. as an exchange student, I started to think and even dream in English and I still do occasionally, probably because I use it online and sometimes write stories in English.