There are two ways to say "The girls I'm thinking about are great. (...about whom I am thinking...)":

Les filles auxquelles je pense sont géniales.
Les filles à qui je pense sont géniales.

The relative pronoun dont is incorrect in this case, because it is penser à qqn and not penser de qqn in this context. Penser de qqn means something else:

Qu'est-ce que tu penses de ce film? -- What do you think of this film?

I agree with Nicolle.  This explanation is very confusing to me.  In English, reconstructing her sentence, it would be "The girls OF whom I am thinking--" not "The girls TO whom I am thinking" which is the construction you're giving us.  So it seems "dont"  would be correct.  I know that it's not, but it makes no sense.

I agree with Nicolle.  This explanation is very confusing to me.  In English, reconstructing her sentence, it would be "The girls OF whom I am thinking--" not "The girls TO whom I am thinking" which is the construction you're giving us.  So it seems "dont"  would be correct.  I know that it's not, but it makes no sense.

It only makes no sense if you try to translate prepositions in a one-to-one correspondence between English and French. The preposition à simply doesn’t just mean “to”. How would you explain, e.g., un café au lait, or je suis à Paris?

Qu’est-ce que tu penses de ce livre? means “what do you think about this book” i. Terms of asking an opinion.