Should I apply for a non-O visa based on marriage before leaving Canada or after arriving in Thailand?

Do you already have a Thai bank account? If not, you need to apply for a non-O visa in Canada, and then that visa will allow you to open the required bank account in Thailand that you'll need to apply for the extension.

If you already have a Thai bank account, you can travel to Thailand as a tourist and then apply for the visa in Thailand, but it's still much better to apply in Canada. It'll save you at least 2 trips to immigration, and a lot of time and effort.

Note that if your marriage is not already registered in Thailand, you'll need to get your marriage certificate authenticated by the Thai embassy in Canada before you leave so that you can register your marriage in Thailand.