I often catch myself thinking something that I would never want anyone else to hear me say aloud, and immediately drowning that thought. Sometimes I play music in my head, sometimes I focus on a happy little tree. Whatever course of action I take, I avert my thoughts from their traitorous path and focus on something more "wholesome".
Imagine a typical teenage male, admiring another male's clothing -- he would probably avert his thoughts as well as his eyes. Anyone who is beginning to enjoy any peculiar fetish, such as furries or small children (or anything else society at large sees as perversion), will at first try to turn their thoughts away and focus on something else, anything else. A housewife considering killing her children in order to follow her husband's wishes will discard the thought instead of taking a knife upstairs.
Of course, I think that this behavior is normal. Not many people would admit it, hell, not many people would recognize that they did it until you told them. It's a defense mechanism that stops people from doing things that they know society would find repulsive. People who don't have this mechanism become social outcasts. (Either that or they're impossibly moral, ethical, naive, and altruistic, but I digress.)
There would be no reason for this mechanism if not for social conditioning, but this is inevitable. Thus, Orwell's speculation that your thoughts are not safe is made much scarier by the fact that one's thoughts are not safe, even from oneself. The thought police can be thought of as a metaphor for the self - especially since any good citizen of the Party will turn himself in, and utterly submit to the collective mind of the Party.