I don't know. I can't remember the name of the article, but I read one recently that discussed this a bit. The example it used was a person catching an unexpectedly thrown object. Obviously the brain is involved, but whether or not the conscious mind was involved with catching the object, was harder to unravel. I think that thoughts can cause actions, but I don't think that they always do. There are many times where I've done something or vocalized something and immediately wondered, "why did I do/say that?" If I recall, the article I read had something to say about learned behaviors, skills like catching things that might become "second nature" to a given person. I dunno. Earlier today I read this article about the relationship between facial expressions and emotions, which seems to me to be related to this thought experiment, but I'm no brainiologist. I'd love to know more about how the conscious/unconscious influence physical actions though. Sometimes I think I'm at my happiest at my most physical and least mental. Sometimes.
I remember watching an episode Horizon about consciousness and they did an experiment reminiscent of the catching example you gave. A group of participants had to stay under and remote control helicopter that flew around the room quite erratically, catching it once fell out the air. Each contestant did it and, when asked, all professed various different methods and techniques. However, when footage from cameras placed around the room and on each participants heads was studied, they were all doing the exact same thing. I can't remember exactly what they were all doing, something in the vein of moving their bodies so the Helicopter constantly looked like it was moving horizontal to the horizon. This presents interesting insights into how much our brain is controlling, even things which we think we're in control of.