I am by no means fluent in French or Spanish (my second and third) but when I am speaking I usually think in the same language. I....just......thought, thri, think...slowerly ..and (what was that word, ah) baderly.
I do have to translate what I hear into English, especially from Spanish, in order to keep the beginning in my head by the time I get to the end of the sentance. Once I have been immersed for a couple of weeks I do less translating and can even understand some things that I couldn't (or occasionally wouldn't) translate.
The truly amazing part is how patient the fluent speakers are with me as I fumble.