vimfuego, that's earlier than the reference I found:
["You have another think coming"
"If you think that, you have another think coming" means "You are mistaken and will soon have to alter your opinion". This is now sometimes heard with "thing" in place of "think", but "think" is the older version. Eric Partridge, in A Dictionary of Catch Phrases, gives the phrase as "you have another guess coming", "US: since the 1920s, if not a decade or two earlier". Clearly "think" is closer to "guess" than "thing" is. The OED gives a citation with "think" from 1937, and no evidence for "thing". Merriam-Webster Editorial Department writes: "When an informal poll was conducted here at Merriam-Webster, about 60% of our editors favored 'thing' over 'think,' a result that runs counter to our written evidence."
From The alt.usage.english FAQ File
end snip
A couple of websites I visited claim that this phrase is changing from its original deliberately and humorously ungrammatical form to a grammatically correct form that misses the point - because people are overly keen to avoid errors. However, most authorities, such as they are, seem to go with "another think".]
Definitely "think". Even without the above.