I've just started writing something which needs to have the protagonists thoughts throughout. However, I'm not sure how to transition between thoughts and events. I started the first chapter with thoughts and I'm finding it difficult to segway into events. Do I have to have them go side by side or have "I thought" after them at all times?
Just treat the thoughts like dialogue, and use italics to set them off. If it's first person, then it's obvious who's doing the thinking, so you don't need tags.
You don't need italics either. I know, I know, many people use them, but they're absolutely not mandatory. @TylerJ, do you have a brief example? Or maybe something in the Review Room?
Since you're just starting off, just separate thoughts from events in paragraphs. Very simple. You don't have to worry about italics or any of that stuff. You write a sequence of events, what's happening, circumstances, anything. Then BOOM. The character has thoughts the author finds the reader has to know. Start a new paragraph and make it obvious that the words in this new paragraph are of the MC. Simple, albeit unconventional.
I suggest reading PG Wodehouse's Bertie Wooster stories. He's masterful at it. He often does what Sardonic suggested: para breaks to set off action vs thought. Even more often, he uses dialogue as the transition. Sometimes, though he does neither: He put the good old cup of tea softly on the table by my bed, and I took a refreshing sip. Just right, as usual. Not too hot, not too sweet, not too weak, not too strong, not too much milk, and not a drop spilled in the saucer. A most amazing cove, Jeeves. So dashed competent in every respect. I've said it before, and I'll say it again. I mean to say, take just one small instance. Every other valet I've ever had used to barge into my room in the morning while I was still asleep, causing much misery; but Jeeves seems to know when I'm awake by a sort of telepathy. He always floats in with the cup exactly two minutes after I come to life. Makes a deuce of a lot of difference to a fellow's day. Note the transition from action to description of his experience of the action to thought.
I think it depends what PoV you're writing in. I find it a lot easier to slip between thoughts and events when writing first person present tense, as everything is being seen as it happens through the eyes of you're MC, so it can just be written how they would observe it