I never ever use this phrase because it makes no sense when 'think' is used.
Think is a verb. You cannot have a 'think' coming to/for/at you. You can have a thought coming, but not a think. 'If you think that, you've got another thought coming' would make sense and be grammatically sound.
You can however, have a thing coming to/for/at you, because 'thing' is a noun.