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Example:

The whole thing sounded a bit strange. How had she gotten my number? I wondered. I didn't know anyone called Maria.

The whole thing sounded a bit strange. How had she gotten my number anyway? I didn't know anyone called Maria.

Another example:

I wondered if the person who called was Maria. Or maybe my mother.

I wondered if the person who called was Maria. Or maybe it's my mother, I thought.

I'm not sure which one is the 'right' way of narrating the example above.

Is it really necessary to add things like "I thought, I wondered, etc," in first-person narrative?

It is OK to omit them?

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It is not necessary to tag these thoughts in first, second, or third person narration. In third person narration, the unattributed thought or narrative embodiment of the speaker's voice is called free indirect discourse, and James Wood writes about it extensively in early sections of How Fiction Works.

The examples you've given could be rewritten as:

The whole thing sounded a bit strange. How had she gotten my number anyway? Had Maria called? My mother--?

In this way, the speaker's dialogue and confusion are allowed to live in the narration itself--as if the reader is speaking with the person as opposed to the author. The reader innately understands this style (it is very common in modern literature), and since the reader doesn't need your cues to signal them along, the cues sound pedantic, if not amateur.

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It's absolutely okay to leave these out. You'll be making the text more concise and the reader will have less work to do. The only time you want to use tags like "I wondered", "I thought", "I worried", and so on, is when they actually add information, or clarify the situation. For example:

My friend often wondered about turnips. I wondered why.

Take care to vary your writing; one way of doing this is to stick the occasional "I thought" in the text. However, as a general rule, words that serve no purpose should be omitted.

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    About 50% of all questions about writing can be answered with the phrase "Words that serve no purpose should be omitted". – Joel Shea Aug 25 '12 at 17:49
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I have often encountered the writing advice, "Show, don't tell." In line with Brett Cassette's answer, I would even consider revising the first sentence. For example (probably lame, because I don't know what came before in the scene):

I sat frowning at the phone after erasing the message.
How had someone named Maria gotten my number? Mom?

Rather than telling how the narrator felt about the call, provide an image that allows the reader to experience those feelings more directly.

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