I was lucky and able to think in English right from the beginning, means, I never had to translate between my mother tongue and English (actually, when I start to think in German and then try to translate into English it definitely doesn't work out).
Here are some tips that might help you (I haven't tried but that's what other people told me)
- learn vocabulary in phrases, not only the single words (record not only the new words you come across but also a sentence that is meaningful for you - if you can't think of any use for example Cambridge Advanced Learners Dictionary and copy the samples it gives)
- try to read passages you already know - and try not to translate them into your mother tongue but to understand them directly in English - you might to have to read them several times, so don't worry!
- try to "talk to yourself" in English from time to time - for example, when it's very cold think "oh, it's cold" instead of thinking of the phrase in your mother tongue
- if your level allows don't use a bilingual dictionary
And of course - use English as often as possible - reading, listening, speaking...
I learned English all by myself, and I speak just like a native American (I'm not interested in the British accent :P). I am learning Italian and I speak that language the way Italians do. The good thing is that I think in Spanish (my native tongue), English, and now Italian.
The most important thing that I believe you should do is to separate language from ideas. I mean, you can have a visual idea (in your mind) about a situation, something you want to do, or something you saw, etc; here is where you need to stop "listening" to yourself speaking in your native language.
My advice is that, for example, when you learn vocabulary you learn the word of the new language and the equivalent of your native language. But right after that, you need to imagine the object, or a situation and link the word to it.
If I am told that the italian word for "window" is "finestra" then I build the relationship, I learn the correct pronunciation (very important) and then I imagine a window and mentally repeat the italian word "finestra".
Next step? Start using the vocabulary as soon as possible! The moment you see a window, mentally repeat to yourself "that is a finestra". The trick is that you do not link the new language words or phrases directly to your native language, so you start getting rid of the "translation" problem.
You can do this with phrases; just imagine situations where you can apply them (those things tend to be "personal", because nobody thinks the same way) and, again, start using them inmediately (at least in your mind).
Additionally, listen to audio files of natives speakers as often as you can. You need to get used to hearing the language instead of listening.
What's the difference? When you hear, you generally do not pay attention, but you can get the idea of what was said. If you need to listen, it is because you need to focus in order to understand what's being said. Needless to say, we always hear but sometimes need to listen when it comes to our native tongue.
Things like this have helped me a lot, and I hope this makes your learning approach much easier.
Try to watch movies without glasses, or if you can, turn off the subtitles.
I improved my english alot after doing so.
Also when googling for something, try googling first in the international version of google in english. As it does not make any biased judgement about which language you might want your results in.
The idea of thinking your normal daily thoughts in english is also great, but it is better if you do it naturally, not forcing your self to it.
Like youtube? Have a fast inet? So, quit your national TV shows, and try to have fun with youtube, or if you have cable or dish, try american sitcoms, they are much better then most crap you might have on public TV broadcast (I know, cause I am Brazilian and I hate those Globo's Soap Operas)
Make english your most used language daily will sure help alot.