Suggest that you consider going North to Laos or East to Cambodia .. much easier to get the Thai tourist visa.
Penang with planning is possible.
Use of a Visa Run service improves your success in getting the Thai Visa sought. They will prescreen your eligibility for a Thai Visa. And only take you if they feel you will get the Thai Visa Issued.
Listen to the wise advice from
@Tod ********
.
I would suggest you forget about KL or Bali...if you are in South Thailand..go to Penang