Those who were born completely deaf and only learned sign language will think in sign language.
They can 'see' themselves signing in their mind in the same way that most people 'hear' themselves talking when they think. However, the level at which this happens depends on how early the hearing loss was, and what kind of languages they have learned.
Those who were born deaf but have had vocal training, will sometimes think in the language that they have learned. Deafness changes the way that the brain works in a more dramatic way than blindness does. In the past, people tried to teach deaf people how to interpret spoken language before teaching them to sign. This is completely changing, because research has shown that even if they learn spoken language, the brain never associates it with thoughts, so they don't develop an inner voice. Teaching them to sign allows them to develop the inner voice.