Do my pensions need to be deposited directly into a Thai bank account for a marriage visa application?

No they can be sent to your UK bank. But you will need 400k baht in a Thai bank to apply for the 90 day Non-O visa inside Thailand and for your first annual extension. Whether or not you can move to monthly transfers in the 2nd and subsequent years depends on your local immigration office

You can only use the income method if you are applying for the visa outside of Thailand.. because the British embassy here no longer certifies income to support visa applications.. if you are already in Thailand and want to apply for a non-o immigrant visa based on marriage.. then you must use the capital method of 400k baht deposited to a Thai Bank account in your name.. and ensure it is seasoned for 2-months before applying for the 12-month extension.. however you can switch to the income method at the next renewal.. which is technically an extension rather than a renewal.. this is subject to evidencing the requisite monthly income being deposited to your Thai bank account every calendar month in the year preceding the extension.. this does not have to be deposited directly by your pension provider in the UK.. and in fact there is no requirement to prove it is a pension at all.. you can simply transfer a monthly sum from your UK bank account every month yourself.. and it doesn't matter if the transfers are being funded from accumulated savings or are from current income you may be receiving.. your bank book (or statements) together with a confirmatory letter from your Thai bank is all that is needed to satisfy the income threshold.. though the payments should be tagged as coming from overseas and not as payments from another Thai bank account (ie. internal transfers) to fulfill the requirements.. I've had to jump through all these hoops myself over the last couple of years.. so I'm speaking from my personal experience of the CM immigration system.. but as always everyone should always check with the immigration office nearest the location they will be residing to double check.. in case they have some additional requirements or there are other variations to the above mentioned procedure.

Yes you can transfer it yourself

As long as you transfer from UK to thai baht each month it's good enough

It doesn't have to be deposited into a thai bank but if you are relying on the 65k a month earning it would be easier

You probably want to ask your local immigration office directly.

Are you applying at an Embassy or within Thailand? If within you can transfer the 400k in time for your application (Non-O Visa no seasoning, Extension of Stay 2 months seasoning). No need to maintain any set sum until you need to be at 400k again for your next Extension.

Doesn't need to be deposit directly. As for the Thai account you'll just the required amount in the account and just leave it there. So next you need to do your visa the money the staement's already there. That's how my parents did it.