Is it possible to do a visa run to Malaysia by train or on foot from Thailand?

In reply to your question, I had the following experience just a couple days ago, but my situation is slightly different to yours by the sounds of it.

I had a retirement visa here, walked through DanNok border control. Stayed two nights and came back on third day. I actually went for a job interview, even had the invitation letter etc. But timed it to coincide with visa expiration so as to enter on a 60 day to execute the relocation of my Thai wife and I over the coming couple months. (No point buying another LTV as only here short term to move)

Thai Imm on the way out many questions why

Malay Imm - welcome welcome welcome

Malay Imm in - thank you come again

Thai Imm - immediately removed to the office - lady boss no chance to explain said go embassy get visa, managed to explain some, she changed to show me onward bound ticket. I again tried to explain we'd drive over the border. Said no, must show flight e-ticket or no entry.

Stepped outside office - 30 seconds later, man steps up - " you need stamp, give me 2k and I will do now, boss no problem, where you from, ok I get you 60 day."

Done! Back in Thailand. Better for me to use an agent if have to do again. I saw two other foreigners pulled out. Don't know what happened to them.

Yeah done it a few times over to padang besar, I've walked across and also took a mini van from hat yai bus station. There isn't a lot in padang besar mind you. So best to plan to travel somewhere else once you enter Malaysia. Penang and KL are worth a visit.