I know 3 languages. Finnish, Swedish and English.
I am from Finland, my dad speaks Finnish, my mothers first language is Swedish, so I have both of those from birth. I speak Swedish with my mom and Finnish with my dad. Then everything gaming-, TV-, computer-related is English. Books I tend to go for English or the native tongue if the author is Swedish or Finnish.
When people ask me how I do this, I generally just answer I have 3 languages I am equally bad at. Learning languages and understanding them (grammar) has never been my strong side, so when I speak I go only based on how I think it sounds best/correct.
I usually think in the language I am speaking, I don't think in Swedish and translate it to either Finnish or English, I think in the language I am speaking. Then the problem I usually have, is that if I speak Finnish with someone, I can't find the word I want to use, then I often know what the word is in the two other languages, and that just drives me crazy.
As for the difference in languages, Swedish and English both belong to the language family (something Germanic-family) while Finnish is very different and belongs to the Finnic-Uralic language family. The Finnc languages are interesting in the way all you basically do is add small add-ons at the end of a word to change the meaning of it, in stead of using words like in/out/above/etc. So you say House, and then Inside the House. In Finnish House is Talo, then Inside the House is Talossa. So you add the -ssa ending on a Substantive to make something be inside that thing.