'Do you know where I'm coming from?'

It’s certainly found in the speech and writing of native speakers, but it’s a cliché, and you might want to avoid it for that reason alone, whether you’re a native speaker or not. It’s heard in the United Kingdom, but its origin is probably American. The earliest citation I’ve been able to track down in the OED is this from the American writer GB Trudeau in 1980: ‘Seriously, I think I know where you're coming from, and I'd like to share that space.’

Would you believe that until the last sentence of your question I had no reason to suspect you weren't an American? The phrase is very common.

Also, I must disagree with Jim in that, to my ear, responding with "understand" is also completely natural and acceptable. Tone of voice here is more than enough to indicate that the speaker is not changing register, the way I'm hearing the conversation in my head. Of course, at this point, we're not being scientific about it.

'Do you know where I'm coming from?' (cliché, could be annoying)
'do you understand what I mean?'; 'you know?'.

Also: catch my drift?; get the drift?; do you see my point?; are we on the same page?; Capeesh?
'follow my train of thought?', or 'understand the direction of my thoughts?'