You must go to the main immigration at Chaeng Watthana. In Bangkok you can make an appointment as well, which will speed things up.
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I've never obtained a residence certificate from this office so I can't say what the requirements are, but do be aware that you will have to make 2 trips out there. The first trip is to apply, and the 2nd trip is to pick it up a week later. They stopped mailing them out a few months ago.