Thinking about this over the weekend, I realized that thinking in a foreign language is probably the same. A person needs time to go through the stages of speaking and understanding in order to really start thinking in another language. One of my favorite students recently requested a two hour class, so that she would start thinking in English.
For me to think in Spanish takes time, but I notice that it starts to happen during a film, a long conversation, or while I'm reading a book or long article. Then it lasts for a while after, and I really enjoy that. Also, sometimes I dream in Spanish!
To increase your ability to think in English, reading, watching films, listening to the radio and talking with people are all great methods. The key seems to be to give yourself enough time, and the amount of time needed will be different for everyone. Also, if you try to limit interruptions from your native language, the effect will be greater.
Image from Lost in Translation, courtesy of http://www.fanpop.com/