Watch a six minutes video of Simon Whistler the host show from Today I Found Out on YouTube channel - those who were born completely Deaf and only learned sign language will, not surprisingly, think in sign language.
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What is surprising is those who were born completely Deaf but learn to speak through vocal training will occasionally think not only in the particular sign language that they know, but also will sometimes think in the vocal language they learned, with their brains coming up with how the vocal language sounds.
Primarily though, most completely Deaf people think in sign language. Similar to how an “inner voice” of a hearing person is experienced in one’s own voice, a completely Deaf person sees or, more aptly, feels themselves signing in their head as they “talk” in their heads.
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SOURCE - Today I Found Out
Related: Can Deaf People Hear Their Own Thoughts ?