Not only has a "self" never been found, there's no reason, based on what you can experience, to believe there is a self. There's no separate "thing" sitting outside of your train of thought. There's no "self" sitting on the bank of the river of your thoughts, watching thoughts go by. Thoughts just appear in consciousness. You can't stop them from appearing, you don't know what their contents are going to be and there's no self to think them before you think them.
Go ahead. Try to think your next thought before you think it.