Wow, so I'm not the only one either!
I do this almost constantly. My coworkers catch a glimpse of my face while I'm doing it now and again and ask me about it. XD (Just happened tonight as a matter of fact.) What's bad is when it's an angry thought and they think I just gave them a death glare for no reason. lol!
I can totally sympathize with cafe about forgetting to do/say things because you already did in your head!
Talking really does help me get my thoughts in order, and I'm so glad I have someone that I can bounce ideas off of and he understands me well enough to know it's just that. So many of my other friends think I'm becoming obsessive or ranting or am gonna make a crazy decision, or take offense to something, when really I'm just thinking about possibilities out loud. writing works just as well.
I used to write out conversations between parts of myself, similar to what some of the others mentioned. It really helped me figure out my problems. There were a handful, but the four main ones were Rach, Rachel, Roxi and Rai-chan. What I came to realize after about three years of doing this was that they represented my soul, mind, body and the stress that would knock them off balance, respectively. It was a neat revelation, and ever since then, I haven't really been able to use that technique as I think I was finally able to integrate them into myself rather than as separate entities battling in my mind.