Can I apply for an O-A visa while still in the UK, and do I need a Thai bank account for financial proof?

Okay, as posters said, you apply for the O-A visa in your country before you wing your way here. It requires a police back ground check, a medical certificate, proof you meet the financial requirements (800K baht or the equivalent in a bank account or proof you get 65K baht a month or the equivalent in income each month) AND proof you have the 40K/400K baht out/in-patient health insurance.

The visa is good for a year, good for unlimited entries with each entry getting you stamped in for a up to a year (or as long as your insurance is valid for).

You also need to meet the current entry requirements to get into thailand too once you have that visa sticker in your passport.