you have to prove how you are getting back home even if you are crossing the border and leaving from another country…Airlines get fined for allowing passengers to board without the proper docs.
keep in mind that each country has there own immigration laws. Because you “got away with it the first time” , doesnt mean you’ll get away with it the second time.. There is a lot of inconsistency..it’s up to you if you want to take that risk.
They don’t check but if for some reason you get caught with certain drugs in your possession then there may be consequences…for example certain Nasel Decongestants are banned because they contain PSE which is used to create Meth.
When you checkin and give them your passport, they will check to see if you have a return ticket in your reservation. At that time they will ask you for whatever documentation you have to allow you to stay in Thailand if you don’t have a return ticket.