It's a very long time ago now, but I remember Mrs T at primary school doing a whole lesson on opinion statements and fact statements (I think that was the terminology she used). We learnt to look for words like "delicious" and "ugly", where two different people can have different opinions and both be right about their own feelings, and words like "should" which usually means somebody's saying what they'd like to happen rather than what is, and to look at the whole sentence and decide whether it's the kind of thing that can be correct or incorrect, or the kind of thing where there's no objective truth. We got quite good at working out when something was an opinion statement vs. a fact statement, IIRC.
"The Eiffel Tower is 417m tall" would be a fact statement (despite being incorrect). "The Eiffel Tower is the most glorious pointy metal thing in the world" would qualify as an opinion statement. I'm fairly sure my fellow 8yos would have confidently identified "Shoplifters should get a life sentence" as an opinion statement, just like "This chocolate cake is delicious" or "The Eiffel Tower is a glorified pylon and should be ripped down".
If even 8 year olds can identify an opinion that's formed as a statement (at least when it's made that obvious by including something like a "should"), then isn't "I think that…" or "In my opinion…" also superfluous? Outside of situations that require scrupulous, legalistic language to eliminate any possibility of a rogue 7yo failing to grasp the nature of the statement, that is, but we're talking about adults discussing in informal connects here. Adding "I think…" or "In my opinion" to "shoplifters should get a life sentence" might not be a pleonasm, but it's implicit in the nature of the statement that it's an opinion. So what's the purpose of adding extra words that restate what's obvious to a small child?
Obviously you know what the purpose is, because you recognise that [t]here are times when a bit of wooliness and extra emphasis is helpful. And you agree that my example sentence communicates different things when there are extra words, even though they don't add any extra literal meaning.
I did attempt to communicate that I don't think the extra words are always there to minimise or soften the impact of the opinion, but maybe I didn't make that very clear. I also hoped that, by writing one of my possible motivations/interpretations as "I think I'll sound posher/smarter/more important/more formal if I add more words", my wording would imply that sometimes, as you say, it makes the speaker sound a little pompous and that they believe because it it their opinion it carries more weight. I don't know what's more pompous than "I think I'll sound more important" 
And yeah, of course the "personal(ly)" is often superfluous in the examples people have been giving, in the literal sense. But people are using it for a reason — I suppose that for some it might have become a verbal habit, and yes, it can be annoying when language trends start suddenly popping up everywhere and they feel wrong to you for some reason. But there must be a reason people started doing it in the first place. If it adds no literal information, then it must have been added to serve some other communicative purpose, and I was trying to think through what those purposes might be, rather than just deciding that people started wasting their time with extra words for no reason other than to annoy me.
If you're fine with some pleonasms, but not this one, are you able to say what it is about "my personal opinion" that bugs you when other similar language use doesn't?