When someone is "thinking" and saying aloud what that thought might be, if he is using the exact wording he would use when saying it, yes, it should be quoted.
...I said to myself, "Wow. I am in trouble now."
...I thought, "How am I going to explain this to him?"
...I wondered, "What do I do if this car won't start?"
These quotes are exactly the same as they would be if the person says them aloud.
Happy punctuating!
Margie