There should be no dash between the subject and the predicate if the latter is an adjective. In a formal language, you can also say, «Этот ответ неправилен», using the short form of the adjective. But the most common expressions are «Ответ неверный», «Это — неверный ответ» and «Этот ответ неправильный»
In Russian, the verb думать (or its synonym полагать) is rarely put in the negative form when it is followed by a subordinate clause. E.g. “I don’t think he is right” = «Я думаю, [что] он не прав». «Я не думаю, что он прав» is not wrong, but sounds a bit weird. «Я не полагаю» is never used. English follows the opposite trend.
"I think it is the wrong answer" is a strange formulation in English. If you are responding directly to someone's answer, you would say "I think that is the wrong answer" or "That answer is wrong". "It is the wrong answer" would only be used if there was some intervening conversation. "Why did you mark that wrong?" "Because it's the wrong answer."