Yes, loads of people get this. A couple of random reddit threads:

https://www.reddit.com/r/socialskills/comments/hzgm1n/how_to...

https://www.reddit.com/r/socialskills/comments/2nnff4/how_to...

I do it. When i'm alone, and one of those thoughts hits, me, i often vocalise a bit. If i'm in company i just wince (if i made a noise in front of other people when i thought of something embarrassing, that would be embarrassing, so that would lead to a sort of embarrassment Kessler syndrome).