You could do it at Nong Khai (where you cross to go to Laos) but you would have to pay for a Laos visa which would be a lot more than the 500 baht they want at the Mae Sai border. If you're going to go to Vientiane, you might as well apply for a new SETV that will get you 60 days that can be extended +30 days.
You're taking the correct action Leah. If you leave without properly cancelling it you will run into trouble trying to get a new visa. In fact, they may not even let you leave without the visa being cancelled (happened to a friend of mine on extension of stay).
As for the time allotted before you leave, it's set when the company cancels the visa. When they go to cancel the visa, have them put the date you're finished as the day you fly out. Then you have a visa until that day; otherwise, it's canceled the day they cancel it and you would either have to leave that day or, apply for an extension of stay for 1900 baht which would be denied but give you 7 days.
, the fee at the Myanmar border is 500 baht. The bus has two seat options, regular at the back (cheaper) and the first 4 rows are larger VIP seats at a slightly higher price.
You can book you bus tickets online at the link Tod provided above and then go pay at 7-11 within a couple of hours... cost for return ticket is around 600 baht. You can take the 8 am bus to Mae Sai and 2:30 pm bus back. That gives you about 2 hours to take the song theaw to the border (15 baht each way), stamp in and out, grab a quick lunch and back to the bus station.
There will be others doing the same run so just follow them. Let me know if you have any questions.
If you know you're staying more than 30 days, I recommend you get a single entry tourist visa (gets you a 60 day stamp on entry) at the Thai consulate in Toronto or Vancouver. It would be cheaper than a 30 day extension and you don't have to spend half a day sitting in immigration.
If you're not in Toronto or Vancouver, it can be done by xpresspost mail... give it 1 week turnaround. Go to their website for the form and all the info you need to apply. Note, the Toronto consulate require an official passport size photo with the stamp on the back indicating when it was taken by the photo shop.
Some airlines can be picky if you have a one-way ticket and want proof of onward travel or a visa. If you have a return ticket, they won't bat an eye.
Thai Lion Air has sales on right now. But if you know you're going to be here for another 60+ days, I'd say fly to Udon Thani and then take the bus to Vientiane and get a 60 day tourist visa. Not sure what dates you're thinking about so, use the airpaz link I sent.... it compares all the low cost airlines in the area. Bear in mind that some countries will charge visas so factor in the visa costs. There is no visa fee for Malaysia or Singapore so it is probably good ones to compare to.
Oscar is right on. I personally like the Mae Sai run. Book a VIP seat on the green bus website (8 am up, 2:30 pm back) and pay at 7-11 within a couple of hours. It'll cost you about 600 baht for bus fare + 500 baht for the Myanmar "stamp". If you want you can take a later bus back and do some shopping in Myanmar while you're there too. Or, just walk over, stamp, turn around and come back.
NOTE: you are allowed only two visa exempt entries by land per calendar year so if you've already done it twice, you're going to have to fly out/in. If you already have a visa and just getting a new entry, no problem.
You can get 30 day visa extension (if that's what you were asking for in your follow up question) at immigration in Phuket on every entry for 1900 baht... no official limit to these either.
Just check the website of the consulate/embassy you're applying to. Thai embassy in Toronto does NOT require return ticket, they only require copy of outbound ticket if you're a Canadian passport holder. If you're not a Canadian then there are different requirements. I've never had a problem flying from Canada to Thailand with a one way ticket as long as I had a proper visa in my passport.
Why fast track? Two weeks ago I went to the immigration office on the 2nd floor (where you do the TM30) and applied for the resident certificate. Picked up next business day, free.