Done several Mae Sai runs and never been asked for anything. It's a very casual border with mostly Burmese coming and going.
Just an FYI, Green Bus is a good option to go there and back (if you don't plan on spending some time up there). Catch the 8 am VIP bus there and 2:30 VIP bus back (giving you two hours to do your border crossing and get some lunch). You have to take a song theaw from the bus station to the border (15 baht)...just follow the other foreigners. VIP seats are the first 4 rows on the bus and much more comfortable. Book online and pay at 7-11 within a couple of hours. Your 7-11 receipt is your ticket. Have a good trip!
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