Whatever mechanism there is that makes you act on some thoughts but not on others, that mechanism is itself subject to the same mystery as thoughts are. What I mean is, you would have to make the decision to make the decision to act, but not before having made the decision to make that decision, and so on. What we in fact experience is no such regression of decisions, but instead merely the sensation of the thought, possibly followed by the sensation of acting.
That you identify yourself as the voluntary thinker of your thoughts and actor of your actions is a beneficial psychological feature surely, it's the difference between someone suffering from schizophrenia and someone not, but that feeling is necessarily an illusion because of the reasons I have explained.