Right from Saul of Tarsus being converted to faith in Christ, the Holy Spirit was bestowed on him. This is unarguable, as shown here by the words of Ananias reporting God's instructions to deal with this former hater of Christians:
"And Ananias went his way and entered into the house: and putting his
hands on him said, 'Brother Saul, the Lord, even Jesus, that appeared
unto thee in the way as thou camest, hath sent me, that thou mightest
receive thy sight, and be filled with the Holy Ghost" [after
which he was baptised.] Acts 9:17 [bold italics mine]
God had also said he would show the now converted Paul the many things he would suffer for his name's sake, as a chosen vessel to bear the Lord's name before Gentiles, kings, and Israelites - vss. 15-16. To his dying day, Paul suffered many things for being faithful to his Lord, dying a martyr's death. So, with those facts established, what could Paul have meant when he said later, "I think that I too have the Holy Spirit"?
The context of that one verse (1 Cor. 7:40) shows Paul addressing other Christians. He was taking them along a line of reasoning about men, women, marriage and remaining unmarried. If any of those considering his instructions disagreed with Paul, they might try to claim that the Holy Spirit in them instructed them differently. Context shows that Paul would not argue about this point (which is not a fundamental gospel message or instruction regarding salvation). He mildly pointed out that if they thought their having the Holy Spirit was significant to understanding the matter, then he too had the Spirit of God. That would, in effect, cancel out a brother's disagreement with him, if based on having the Spirit of God. They both did. But Paul was not out to start a quarrel with brothers on this point. He mildly concluded that matter in his letter before moving on the the much more theologically significant matter of avoiding worshipping idols. Some were in danger of sinning against Christ or, of stumbling brothers with weaker consciences. So, by the start of chapter 9, Paul is more challenging to them, now pressing the matter forcefully:
"Am I not an apostle? Am I not free? Have I not seen Jesus Christ our
Lord? Are not ye my work in the Lord? ...the seal of mine apostleship
are ye in the Lord... For though I preach the gospel, I have nothing
to glory of: for necessity is laid upon me; yea, woe is unto me, if I
preach not the gospel!" 1 Cor. 9:1-16 A.V.
Paul could have achieved none of that without the power of the Holy Spirit. So, the answer is, "Yes, he had the Holy Spirit at his conversion, and it was not taken away from him, even if in that one verse he asks a question about that. It is a rhetorical question, the unspoken answer to that one of his being 'We all have the Spirit of God."