By the way, usually you can also do it by mail, and you can send the requested documents 15 days in advance. Costs under 100 bahts in stamps. But in your case, it's too late (this time at least). The grace period of 7 days does not apply to reporting by mail.
If I were you, I would search for necessary documents first, unless you love going there. You'll usually need copies of your passport (info page + last stamp), copy of your visa, copy of your TM.30, last TM.47 slip (if any), and sometimes even a copy of evidence of your address on top of the TM.30. There might be other documents needed in Chaeng Watthana, no idea, do a search.
I've just realized that you already have a new PP. Which means the new PP was issued before the visa. That's a difficult situation, I think. Try to contact them.
I do not think it is possible to change the passport number in an ongoing application. This would possibly lead to a cancellation of the application. What I would do in your case: Wait until you get the visa before declaring the loss to the authorities where you reside and applying for a new passport. Then contact the Thai embassy where you applied and describe the situation ("My visa was approved, but I lost my passport"), and see what they suggest.