The first one is odd. "I didn't think of it" means that it didn't even cross your mind. "I didn't think about it" means you haven't spent any time thinking about it. Anyway, "I'd be lying if I said I didn't think of it." is awkward. Use "about" instead.

Each of these sentences is grammatically correct. However, the first one does sound a bit less natural; I would use the second one instead. The third and fourth sound perfectly okay.