We try to put the negative part as close as possible to the beginning of the sentence. It's just clearer to understand that way. When the negative comes late in the sentence, it's a little confusing ("Why didn't you say that sooner?").

"I think ....... shouldn't........." isn't technically wrong, and you would be understood. However, "I don't think ....... should...." is just a much more common and pleasant sounding construction. More 'English', grammatically speaking. Always use this form and you will always be understood.

thanks all :))