In English, 'that' is often left out in speech, e.g.
I think it will be great. (I think that it will be great.)

In more formal Welsh, y is used for 'that', with the future and conditional tenses, e.g.
Rwy'n meddwl y dylwn i ennill. - I think (that) I should win.
Rydw i'n meddwl y bydd hi'n oer ym mis Tachwedd. - I think (that) it will be cold in November.