Yes, I agree. Thoughts affect your feelings, but often it isn't obvious because there can be a delay between thought and feeling. Also if the thought or belief is something that has been running in the background for a long time, something your dad always told you, something like that, then the thought can be hard to even see, it just blends in with the background.
Journaling therefore helped me, the disciplined kind where you write down all the thoughts you're having, at least to do with something that is bothering you. Then after each thought, you further journal by sharply analyzing the thought: basically, is it true?