Is applying for a Marriage Visa at the Thai Embassy in Kuala Lumpur a good option?

I have a retirement visa O-A, expiring 5 April 2019.

I am married to a Thai National and wish to change this to a Marriage Visa.

I have met the financial requirements for O-A THB 800,000 for 3 months.

I’m told that to expedite this I should leave Thailand and apply at an overseas Thai embassy, say in KL Malaysia.

If the above is true, is the KL embassy a good way to go?

Thanks,

RB