First location HCM, didn't provide letter, as not asked for proof of location again. Second was Jakarta (from Lombok). Travelled to Singapore, then back to Indonesia (Batam). Provided letter stating this with both entry stamps. We basically just jumped on a ferry when they asked for the stamps.
Generally speaking, one can't travel to the country one is applying for a visa to. People have mentioned it's not permitted, though Thailand only allows one visa at a time apparently. Would you want to take the chance? Why else would they ask for proof of location?
Yes, approved late next working day. I had the minimum balance in my account for the 6 months, so can't comment on how long it needs to be there, but I've heard it doesn't need to be 6 months.
HCM: I didn't submit tax return. I did submit payslips and savings account statement with the balance. They came back asking for statement of the account showing salary receipts highlighted. So I would recommend submitting that. Bung it all together in a merged and compressed PDF. I think I sent them about 50 pages all in (6 months for everything).
I left and got mine, but NOT to Thailand. They can ask for proof of location, but possibly not likely if you provided adequate proof originally. However, I wouldn't recommend going to Thailand during the application.