Rome is the best embassy they only ask for bank statement the month you apply a thai coulture course plane ticket leaving from italy and a proof that you are in italy...you will get it in
If you have an Italian passport like I do, then just apply in Rome my visa got approved in 3 days. I transferred the 500K to my account the day before plus a 3 months cooking course. and you have to provide a proof of legal address in Italy. In my case, I just gave them a utility bill in my name