What are the best steps to apply for a retirement visa in Thailand as a New Zealand citizen?

You're not going to be able to get a bank account if you're here as a tourist, so that's going to be your biggest problem. The first thing you need to start the process is a bank account, because you have to show 800,000 Thai baht in a Thai bank account in order to apply for the retirement visa.

You will likely have to use an agent in order to get your bank account, but due to various government crackdowns on illicit activity, it's become increasingly more difficult and expensive to get a bank account. In just the last few weeks the price of a bank account through an agent has gone from 5-6,000 baht to 12-15,000 baht.

Once you find an agent, you can decide to either just get the bank account from them, and then do the rest yourself with immigration, or you can decide to pay them more money to do the rest of the process in obtaining your visa as well.

One alternative you have is to go to a nearby country to Thailand and apply for the retirement visa through the Thai embassy there. Then you would have the non-O visa and could use that to help you open a bank account when you returned to Thailand. That would then allow you to do the entire process yourself.