Whether you can wait until you arrive at the airport or not will depend on your airline. Some airlines will require you to show them you have already done the TDAC before they will let you on your flight to Thailand, while others will not care.
it's certainly a risk. But what is the agency's solution? Do they want you to pay them more money to help you get into Thailand? If that's the case it should tell you all you need to know.
Why don't you just apply for the non-O visa from a Thai embassy and then you'll definitely have no problem entering Thailand. And then using an agent for the extension should be significantly cheaper as well. Did they mention that option, or they want to maximize how much you're paying them?
Should be 500 baht. At least it was a few years ago.
Have 500 baht ready with your passport. Don't make it obvious. Just ask for express service. Have a few extra hundred in your purse/wallet in case the price has gone up.