Living abroad, half the time I find myself thinking in another language. I recently decided which foreign language I should spend my time on next. Turns out my teacher doesn't speak English so I'll be learning my fourth and final language via my third language. Confused? I am, though I suppose I'm making a sound decision...
I learned some Spanish in English, which is not my native language. I've found the key is to think in whatever language you are using most as much as you can; at least in the beginning.