Nope, those don't sound odd at all; in fact, they sound very natural and native, although they are a bit dated. If you use them in conversation, people might think you're being quaint. But in 19th century literature, this form is used all the time.

They are grammatically correct, but you would probably get some giggles from people if you spoke like that. The mannerism that you used in your examples are mostly found in literature. Some modern ways of saying the sentences would be: "He thought he was beautiful." "He believes he is clever." "I think I am intelligent."

I wouldn't say odd, but I wouldn't say perfect either. i- "He thought of himself as beautiful." ii- [needs no correction] iii- "I think of myself as an intelligent being."