Using two verbs in a sentence
I know usually you use the infinitive for the second but how about this sentence "Pense que olvide algo pero lo tengo". Is this ok for this situation or would you need to use the infinitive of olvidar, to note none of the translators use olvidar as an infinitive.
2 Answers
"Pensé que olvidé algo" should not be used.
Better ways to say that are:
Pensé que había olvidado algo.
Pensé que se me había olvidado (algo).
Anyway, there is a small area in the Spanish speaking world where this (Pensé que olvidé algo) can be heard with some frecuency. Anyway it is grammatically incorrect.
Pensé que había olvidado algo (I thought I had forgotten something). Here the notion is "Hey, I thought I forgot something, but now I know I didn't. That's good!".
Pensé olvidar algo (I planned to forget something) is completely different. It's something like: "I wanted to forget something" - [That oblivion was something you wanted to happen or you wanted to make it happen for whatever reason]. Here the preferred verb would be "quise" or "quería" as in the following sentence: "Quise/quería olvidar algo, pero no pude" (I wanted to forget something, but I wasn't able to or I couldn't).
Finally, the intensive use of "pienso" followed by an infinitive, as a replacement of other verbs like "creo, intento, quisiera, quiero, me propongo, planeo..., is more widely heard in regions that are under the English language influence.
Berry:
I know usually you use the infinitive for the second verb
This is not a rule. Sometimes it is true, many times it is not, even when there is no change of subject.
In the following it is true:
Quiero ir a la tienda. I want to go to the store.
Puedo correr rápido. I can run fast.
In your sentence:
Pensé que he olvidado algo.
I thought (that) I had forgotten something. I thought (that) I forgot something.
Note that in English "that" is often omitted.
Usually when you can use that in this way in English you must use que in Spanish.
You can follow pensar with an infinitive, but then it has a different meaning.
Pienso caminar a la escuela.
I intend to walk to school or I plan to walk to school.
If you used the infinitive with olvidar it would make no sense.
Pienso olvidar algo.
I intend to forget something. I plan to forgot something. These make no sense, right?
Verbs in Spanish (and English) have many different uses and meanings. Sometimes a conjugated verb is followed by an infinitive with nothing in between. Other times a conjunction or a preposition (a, en, de, con, por being the most common) is required between the conjugated verb and an infinitive. Many verbs have multiple uses and meanings if followed by various prepositions (or none at all). Many times the Spanish preposition or conjunction is what an English speaker would expect and other times it is not.
My advice is to try not to focus on rules and trying to understand why this? and why that? Take a structured course, if you aren't already, and then start reading in Spanish. Read things that you are familiar with, on the Spanish Wiki, for example. You'll be surprised at how much you understand if you're familiar with the topic. And you will learn a lot of Spanish by reading...that is one of the ways you learned much of the English that you know.
You can find some structured courses here under the "Learn Spanish" option in the main menu. If you do this, you will learn all of he above ¡y mucho más! 
