Formal:
* Estou pensando em... (This is the most common and literal translation)
* Estou a pensar em... (More common in Portugal)
Informal:
* Estou pensando no/na... (When thinking about a specific person or thing)
* Estou pensando em... (Also used informally)
Examples:
* Estou pensando em você. (I am thinking of you.)
* Estou a pensar em viajar para o Brasil. (I am thinking of traveling to Brazil.)
* Estou pensando no que fazer para o jantar. (I am thinking about what to make for dinner.)
The best way to choose the right expression depends on the situation and your level of formality.