I used to just use the ATM's until i realised how much i was losing. Now i'll bring the maximum amount of cash allowed and exchange it thailand. It's the best conversion rate you'll get. I also believe Vasu money exchange is the best rate you will find. I think it's on the corner of sukhumvit soi
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Bangkok. Hotel room safe should be fine, but most hotels also have safety deposit boxes in reception. It requires 2 keys and you hold 1 of them. If i am running low i will buy Thai Bhat in a lump sum over the counter in a bank. (Look around for the best rate). I'll never use an ATM again.