Yep, you go out using the UK then mid air change over to Thai passport. Both passports will be linked as a dual national. Straight through the Thai line at BKK though most are mixed now anyway I find.
You are recommended to apply for a visa at least 4-8 weeks before the travel date but do not submit your application more than 3 months before your departure date.
Waiver enterance needs an exit route. I agree prices are silly money. Either do an onward ticket or do one on the cheappies China flights to BKK. EVA and Thai have a closed monopoly on the direct LON to BKK route now BA code share to Qatar.
we have got to 4 and got a Kor 2 I think it's called. The back of the UK marriage cert has a Thai stamp and something stuck to it. This was in 2016. I know my wife had to do some running back and forth between BKK and Cha Nat. Also got her ID card done.