No you do NOT have to buy a return ticket/onward travel ticket. I did my SETV in Vientiane 2 weeks ago with no questions asked at the embassy. You could possibly be asked as you enter Thailand to show 3 things,
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k cash, Onward travel ticket and proof of accommodation. This has been requested from people that have a few Thai visas already in their passports. If you have a few Single Entry Thailand visa (SETV) then I would recommend having 20k with you. You can "book" an onward travel ticket for B600 if you want to have all the required paperwork if they request it :-)