This is such a huge topic that any answer shorter than a book will be inadequate. But I've found two things to be helpful for learning "how to think."

1. Study philosophy. While defining philosophy precisely is difficult/impossible, it's essentially the study of thought. But, it's very important to study philosophies outside of your normal frame of reference. Read books from different eras, languages, countries, and viewpoints that are alien to your current way of thinking. If you're from the modern secular West, that likely means you should read premodern, religious, non-Western writings. The idea is to peek into a different world and see how human minds operated.

A good method for this is: pick an idea that you are 100% sure is true. Not "the Earth is round" but "X value is good." Then search for people who disagree. Trying to understand how an intelligent person could come to an opposite conclusion will improve your thinking ability.

2. Study formal logic. Especially symbolic logic, as it helps you focus on abstract structures and not on their content. The feeling of mental clarity that comes from this is hard to describe, but I really recommend it.