The most common and most likely answer to this crossword clue is the 9 letter word IMAGINING
I've seen this crossword clue in The Times
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More clues leading to the result IMAGINING
Buddy explains!

The straight part
We know that "Just thinking" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case just thinking = imagining.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does IMAGINING mean?
IMAGINING verb- To form a mental image of something; to envision or create something in one's mind.
- To believe in something created by one's own mind.
- To assume
- To conjecture or guess
- To use one's imagination
- To contrive in purpose; to scheme; to devise.
- Something imagined; a figment of the imagination.