Well, don't forget that they translates to αυτοί, for masculine or mixed (as in people), αυτές for feminine and αυτά for neuter. I guess that in this particular sentence, ommiting the pronoun would give you more options for the gender ^.^
Thanks, I suppose I'm asking if in Greek you'd try and put the appropriate gender of pronoun in, rather than just say "Ti νομίζουν;"
In spoken Greek, almost every pronoun is ommited at some cases. I'd say we do use the pronoun in emphatic cases. For example, if you want to emphasize on yourself being interested in their own opinion, you would use it. ^.^
σκέφτομαι is to think as in the mental process.
νομίζω is to think as in to have an opinion.
σκεφτώ is the aorist subjunctive of σκέφτομαι, as in θα σκεφτώ "I will think" or θέλω να σκεφτώ "I want to think".