If your coming in visa exempt at one of the Southern land borders, be sure to carry cash to the tune of 20,000 baht per person. Any exchanable currency or travellers cheques are acceptable. They may also ask to see some type of pre booked accomodation. They are not particularly user friendly at those crossings.
There is no Thai Embassy in Thailand. You would use an immigration office. The majority of immigration offices won't allow an extension until the last 15 days of your entry.
David, you posted the same time as me. If you have everything including carrying the cash, I guess you should be ok. I'm just saying that Phuket are very much like Don Mueang.