Do we have the choice to think about whether we have a choice?

If you are a determinist the answer is no since everything has been already determined by the Laws of Nature. If you are someone who understands that choice is fundamental to the creative process of life and evolution, then the answer is yes, which is why we come to philosophy forums to discuss the nature of choices we make.

To believe everything is already determined by the Laws of Nature, one would have to come up with some theory of why the Laws of Nature would decide to create forums to discuss the nature of choice, a concept that would have to somehow pop out of the Laws of Nature.

I don't know how you'd choose to have a choice without the entire enterprise devolving into an infinite "I chose to choose that I chose to choose, etc."

Of course, you just did. =P

We choose, which is to say we find ourselves choosing. You could say we are thrown into choice. We find ourselves always already in motion, in an anticipatory stance that is at the same time a distinguishing and a preferring, and thus a choosing.