Is it normal to constantly be thinking about how you should behave instead of acting naturally?

It is normal to feel anxious of these things, as you want to change things for yourself because you are not happy with the current way things are. It's best to try to think about the good ways of acting, and do it so many times it becomes natural.

Most people will say unless there is a camera following you around, you should always behave naturally. However, you should always be thinking about how you should behave and yet act naturally. It's called decorum and conscientious.:)

If you consider normal in the matter of statistics, then it is not "normal", however, being normal is not something to keep you worried, just be yourself, and if being youself implies being self-conscious about your behaviour and it does not keep you from getting things done, then there should be no problem, if on the other hand, anxiety keeps you constantly worried and thus, you can't do your daily activities, then you could try and relax, start acting naturally and with time you will realize that people won't constantly judge you, and if they do, give their opinion their rightful value, which is, in many cases, essentially none.