Had it in my cargo shorts and forgot to button it. Amazingly the tuk tuk drivers are all in communication with one another and tracked it down. That cost me a hefty tip.
A friend just did Vientiane. No problem. You typically bump into a group who you'll work together with, share the tuk tuk ride from the border to the Thai embassy. As I recall it's a stamp out of Thai immigration in Nong Khai, a bus ride over the friendship bridge to Loas immigration, and a tuk tuk ride to Thai immigration. Then find a hotel over by where the night life is. You're head will be spinning. Don't let your passport or wallet fall out of your pocket like what happened to me climbing in and out of busses and tuk tuks.