I happen to speak both. Urdu was mostly self-learning, and Punjabi I studied a little as a kid in Indian Punjab (Gurumukhi script). We had some stories of Bulleh Shah in the coursebook.
Of course right now I only think in English. My command on the native languages of India (or Pakistan) have become rusty in the last 15 odd years.
Interesting what you said about english, I've noticed every time that I have visited pakistan more and more people make a effort to learn English to the point I think eventually people will stop speaking urdu altogether. That's why it more imperative now than ever before to make all native languages compulsory in order to preserve culture and tradition. Other wise in the future only english will be spoken.
Don't get me wrong english is a very important language if you learn it a entire world opens up to you but not at the expense of native languages.