Conclusion: The Self is Mental.

P1: Thoughts have the property of intentionality.
P2: Physical states do not have the property of intentionality.
Therefore, (IC1) Thoughts are not physical states. (from P1 and P2 by the indiscernibility of identicals)
IP1: Thoughts are either mental states or physical states.
Therefore, (IC2) Thoughts are mental states. (from IC1 and IP1 by disjunctive syllogism)
IP2: If thoughts are mental states, then the self is mental.
C: The self is mental. (from IC2 and IP2 by modus ponens)