No, it's not okay. The grammar is actually wrong. If it's a verb that comes after the phrasal verb to think of, you should follow this pattern:
to think of doing something
That something can be anything you want. Even another doing something if the verb with which it's used allows you to employ another "ing" form. Thus, you can certainly say think of doing doing something if you're otherwise not breaking any other grammar rules. But, in this case, I'd go with Khan's suggestion and say that it probably does sound a little bit better to say starting to do something rather than starting doing something:
Whenever I think of starting to do something, the first thing that comes to my mind is "I lack resources".
Here's a simple rule of thumb to remember: in general, you can't use verbs after prepositions. It has to be either a noun (or a noun phrase) or a gerund (the "ing" form of a verb which allows verbs to function as nouns). To better illustrate the point that I'm trying to make, take a look at these examples:
You can significantly improve your English-speaking skills through listening. [gerund]
You can significantly improve your English-speaking skills through prolonged exposure to authentic English. [noun phrase]
You can significantly improve your English-speaking skills through listen. [verb - WRONG]