You think of something if you try to come up with something. You might make an "effort" to do so, it is deliberate. For example: Think of a title to your essay
You think something up if you come across an idea of yours that occurred to you kind of by chance. You didn´t make an effort, it was spontaneous.
At least, I was made to understand it like that.
I hope this helps. Ask a native English speaker about this, anyway.