That’s correct. “To think about sth” is translated by “penser à qqc”. There is a difficulty, though. If you say instead “I’m thinking about it.” you do not say (because it’s wrong) “Je pense à le.”; the equivalent of “about” is, so to speak, absorbed into the pronoun, which is not “le” but “y” and you say “J’y pense.“.
C’est ce à quoi je pense is 100% correct.
Note that if you want add some emphasis on the "this" component, you can also say:
C’est à ça que je pense.
C’est à cela que je pense.
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