The sentence

Je penser à changer de travail.

Is completely wrong in French, you can’t have a pronoun followed by an infinitive.

The right way to write it would be

Je pense à changer de travail

J’ai pensé à changer de travail

In French there is a small difference between

Je pense changer de travail And Je pense à changer de travail

The first one means that you’ve already taken your decision and that it’s going to happen : I think I’ll change jobs

The second one is more hypothetical, where no decision has been made yet : I’m thinking about changing jobs

Although this already has an answer, as this other question has answers in French and is more general I will try to make a short point in English here.

There’s very little difference between the two uses in your two examples. If you say:

• je pense à changer de travail

or:

• je pense changer de travail

  it means that you are thinking about it in either case.

Saying je pense à changer de travail just shows you might be thinking more intensely about it but in neither case have you made up your mind.

The same can be said about:

• Je pense aller chez mes parents

and:

• Je pense à aller chez mes parents.

But in that case je pense aller chez mes parents is probably much more common. Personally I would not say je pense à aller chez mes parents independently of the context but I see no reason why it could not be said.

But in the sentence:

• Il faut que je pense à aller chez mes parents.

where the sentence is introduced by il faut que ("I must") having à is mandatory, because il faut que indicates you have already taken a decision and penser à in that sentence does not mean "to think" but "to remember".

"Penser à" is the translation of "to think about".

You can think about someone or something (in this case about doing something).

So it works for:

Je pense à mon chien = I’m thinking about my dog

Je pense à changer de travail = I’m thinking about changing jobs

Je pense à ce que j’aimerais faire demain = I’m thinking about what I’d like to do tomorrow

"Penser" is "to think" and its main use is "penser que" = "to think that".

Je pense que tu as raison = I think (that) you are right

Je pense que je devrais changer de travail = I think (that) I should change jobs

We don’t really use "penser" as is, like "Oh sorry, I was just thinking", we would say "Oh désolé, je réfléchissais".

"Penser" + infinitive is a specific construction.

The best translation is, as Rémi said, with the future:

Je pense venir chez toi demain = I think (that) I’ll come to your house tomorrow

Je pense changer de travail (bientôt) = I think (that) I’m going to change jobs (soon)

Note that you can use the "que" construction I explained above to carry the exact same meaning, and that’s probably what most people do:

Je pense que je viendrai chez toi demain

Je pense que je vais changer de travail (bientôt)

Note that there are many uses of this verb, for example "penser" + something, or some constructions like "je pense comme toi" (I agree, I’m thinking the same), or "bien pensé" (well-designed, well-engineered, thought through): https://www.cnrtl.fr/definition/penser