there's a Western Union branch in CentralWorld, can't remember which floor but I think 4th or 5th. There's also one inside the post office by BTS Phra Khanong.
no but you might be asked at check-in to show an onward ticket out of Thailand. If you don't have one then they might not let you board unless you buy one on the spot.
you have to do it where your TM30 is registered. So if you're on Koh Lipe in a hotel then they should do a TM30 for you, as required by law, then you can extend there if there's an immigration office there anyway.
You also don't have to do it on the last day. If you have less than 30 days left on your stay then you can do it now and the days will be added on to your current expiry date.