What a great question, Alberto! I think this is a sign of an advanced learner.When we start learning a language we always translate from our mother tongue. But when we get to a higher level, we are able to think (or even dream) in this language, and this is a sign that we have got to a very high level in the new language. How about you?

A lot of my friends say that they always think in their languages first then translate to foreign languages. But I think this step made you slow in mind and communicating.
For me, from the first time I studied English, I understand all sentences in English and think in English. Sometime I don't know how to spread out my mind, I use dictionary to translate from my language to English. But it is in writing. While I am communicating, if I don't know the word, I try to explain it by words I already know :)
That's why my English is very wild =)) 

Yes, I can. But only with the languages I'm fluent. It takes time and practice to start thinking in another language.

Sometimes, when I start to speak I just say what I want to say and I don't care about the grammatical structure. On the other hand, when I have to demonstrate my level, and I try to speak as correctly as I can, it's then that, unfortunately, it begins a rough time for me because all the doubts pop up in my mind.

There have been cases where I can see perfectly the sentence in my mind but, in another cases my mind doesn't help me and I have to translate what I want to say, and check whether what I'm going to say, has some sense or is an awful Spanish-English.

I'm sure I always makes a lot of mistakes when I'm speaking, there is a huge difference between speaking and writing.

While you are writing you can see your faults and have the chance to correct them, or search them in Google what is the correct way to write some expression.

Well, Any language is hard to learn but it's entertainment, as well so, we should be patient.

I almost never think in my own language when I speak a foreign language. Not in English, but I am reasonably fluent in English, but not even in French either. And my French is not that good. Personally I think it is strange that people would think of a sentence, and then translate it. I use the vocabulary I know in that language, even when it is limited. I have read that people first think in their native tongue what they want to say, but to me that is just very strange. Why would you do that?