First, you need to simplify the sentences.

Я должен. - I am supposed to/obliged/must
Я думаю. - I think

Second, the word должен is the "predicate adjective" in the short form. It is usually followed by various complements. So it agrees with the subject by gender and number.

Я должен. - I am supposed to (said by a male)
Я должна. - I am supposed to (said by a female)
Мы должны. - We are obliged (plural)

Other predicate adjectives similar to должен are:

рад - glad
готов -ready
намерен - intend to
способен - capable