Luc Segers Yes, immigration when you arrive. Fly on your new passport and present both when you arrive in Bangkok. It takes 5 minutes, they just put a new stamp into your passport. Same if you're leaving with a new passport.
If you get a new passport back in your home country, MAKE SURE you can keep your old passport. You'll need to bring both of them with you when you return to Thailand so they can transfer the Non-O to your new passport. In the US, if you get a new passport inside the USA, you cannot keep your old passport.
If this is the case in Belgium, get a new passport from your embassy BEFORE you leave thailand.
Any insurance works, however if you're using a foreign company they need to provide you a letter specifically stating you're covid for covid-19 coverage in Thailand up to $20k usd.