No. No comma. I think Red Square is definitely worth visiting.

Sometimes "I think" is placed at the end of a sentence as a "qualifier" to say you aren't sure. In this case, it is separated by a comma. 1. He's the new professor, I think. (Subject is "he"; verb is "is"; direct object is "professor".) 2. I think he's the new professor. (Subject is "I"; verb is "think"; direct object is noun clause "he's the new professor".) Do you see the difference between #1 and #2? That's why there is no comma after "I think" in #2. :)

I think Red Square IS definitely worth visiting > no comma before "is" I think Red Square , a place (that) I heard is definitely worth visiting , is going to be the next place I will visit . > The phrase enclosed by the commas is just added information for Red Square and it doesn't interfere with the main sentence " I think Red Square (....) is going to be the next place I will visit