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.