An interesting question. Lots of disagreement.
From a practical perspective, it certainly seems as if they do. They play as if they do. But doing something that will be beneficial later on doesn't necessarily mean that you worked out all the permutations of all the moves that would lead to it's usefulness. 2... f5 might just be a good habit.
A famous quote from a chessmaster is "I only think one move ahead. The right one." While this is more a product of his own (biased) perception of how he thinks, it is partially right. Chessmasters don't gain most of their advantage from thinking further ahead. They gain their advantage from only pursuing good lines, and discarding bad moves. The better a player is, the less time she spends thinking about bad moves.
There is also the matter of chunking. Master players think about pieces and moves in groups, or chunks of moves, while novices think of each move one at a time. So, while a novice would think: "Okay, I capture his pawn, captures with his bishop..." a chessmaster would think "Okay, we continue the Sicilian Defense, then I try gambit X. If he accepts, I go for his king. If he declines, I protect my vulnerable bishop." Chunking not only allows the player to think further ahead, it also frees up short term memory, the RAM of the brain, speeding up computation. So, they don't think further ahead in the sense that Deep Blue thinks further ahead, but they do think further ahead than a novice. The key insight is that they don't have greater processing power, just greater expertise. Novices and Masters use the same number of chunks, but masters' chunks are bigger.