I'm about to finish with Head First Java book. Can you recommend me some other books I can keep studying with. Thinking in Java looks like still a bit complicated for me, might be there a kind of advanced level of head first Java or something?
Effective Java is definitely the number 1 java book every java developer should read more than once.
That said: if you liked Head First Java, try Head First Design Patterns.
Trying to program something or solving simple problems (logic and arithmetic) with Java will be better. Practice coding and also, look at different sources as well, especially Object Oriented codes.
Start implementing and read along during that. If you want to increase your Object Oriented thinking I can recommend Refactoring: Improving the Design of Existing Code from Martin Fowler. It will help you to understand how you can use objects and design patterns to improve your code and make it much more readable.
You can try
Ken Arnold, James Gosling, David Holmes, The Java Programming Language, Fourth Edition, Addison-Wesley Professional, 2005, ISBN 0-321-34980-6