heck your local Thai Embassy/Consulate website and look at the requirements for the Non-O (90 days on entry) and Non-OA (12 months on entry) retirement Visas to see which suits you best. Arriving with one of these makes opening a Thai bank account much easier and you will need one within 30 days of arrival if on a Non-O Visa to get your first 12 month extension (unless your Embassy in Bangkok still does the income affidavit). Arriving with no retirement Visa means you need a bank account to apply for the Non-O in country and this route is more difficult/expensive.
In Bangkok you go to one of two Immigration Offices for Extensions of Stay. If you bought a Tourist Visa from a Thai Embassy/Consulate outside Thailand before you entered you get your extension from the main Immigration Office at Chaengwattana, Building B, Counter J. If you entered on visa-exempt you are going to go to IT Square, Laksi Plaza (3rd Floor) temporary office, just next to Lak Si station of SRT Dark Red Line.