There is NO thai embassy IN thailand :O (Just like there is no US embassy in the US ;) )
You would go to the main immigration office out at the government complex on Chaengwattana Road.
You do NOT need proof of onward travel OR proof of funds. You are confusing the requirements for getting a tourist VISA at a thai consulate in another country with getting a 30 day extension at the immigration office.
It costs 1900baht, they are open 8:30 - 4:30
Here's the Map
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