Q: Thoughts and feelings are given to us, but where they originated can't be known. If anything changes, it's because we are changed. We don't change ourselves or make choices or have free will. The only thing we do is observe. We're not capable of doing anything else.
A: I do think you are correct that we don’t "think" most of our thoughts as much as we receive them like a radio receives the signal from the station. But it is also possible that whatever sends the signal of our thoughts also gives us the experience of individuality and free will in the same way. It comes from the same source, but perhaps that source loves the mystery and surprise it gets when it gives a part of itself free will to act in unpredictable ways.
So while that apparent choice and free will are ultimately a gift from something more mysterious, it still could be our relative experience that we have the free will to act and choose. It definitely would make for a more interesting illusion!
There is a fairy tale or story at the end of my book, That Is That, that offers one explanation of how the mystery could give its creations apparent free will and choice by creating copies or clones of itself to live these apparent lives as individuals.