It's easy enough to do with the Green Bus yourself and you shouldn't need a tour agency. It's a pretty long day though (4-5 hrs each way, IIRC, leaving yourself a couple of hours to do the visa stuff and have a stroll around Tachilek if you want).
I've heard and read of people doing this at various borders. Of course you *should* get a visa for Laos (or wherever) and Thai immigration will probably turn you back if they check and notice you don't have one...but they evidently neglect to check this at least a certain proportion of the time.
Don't get me wrong - I think chances are that you won't get away with it, but the chance of them not noticing are definitely higher than 0%/impossible. How many people enter Thailand each day with the incorrect stamp? It's definitely more than zero. ;)
I've had several Chinese visas (working and tourist) and I don't think the Chinese consulate will actually check with your employer under normal circumstances - it would be too much hassle for them to do this with everyone. I suspect they just want to know you have a stable job and somewhere to go back to, and you'd be risking more by putting down that you're unemployed. They might then ask for bank statements etc., if they're not already. (I think on the last few applications I've done I've just written either employed or self-employed and put down the details of one of my main clients.)
If you're actually worried about this, though I don't think you need to be, maybe just "accidentally" transpose a couple of digits in the phone number so even if they try and contact your employer it won't go through. I think that's less of a risk than lying about your employment status, especially when they can see you have a job in Thailand.
The other issue is that there have been a few reports in the last few weeks about Chinese consulates in SEA (BK, CM, Vientiane at least) not issuing tourist visas to non-residents. You should check that with the consulate for up-to-date info, but I think reentering Thailand with a visa exemption to try and get a Chinese visa will make it far more difficult for you.
I remember reading on their FAQ section ages ago that they can do tickets lasting more than 48 hrs, so you wouldn't necessarily need two tickets - you should probably contact them. I can't imagine it should make much difference to them since they're just buying a ticket and cancelling it later.
Never used this company though - there are ways to achieve the same result that are both cheaper (free), easier (no intermediate company), and no more dishonest/fraudulent (IMO).