I just did this myself. It's very straightforward. Copy of old passport ID page, and last entry stamp page. Copy of new passport ID page. Fill in the "transfer stamp to new passport" form and hand it into your immigration office, together with your old and new passport. No letter from your embassy is required. Maybe up to 500 baht fee is requested. Just pay it and go.
ah, OK. In Asia this can be done. Maybe you could go to Veitnam for a few days before going to Thailand, because I do know that you can go to the Thai Embassy in Ho Chi Minh or Hanoi. Just a suggestion
your can get a 60 day Tourist visa in the Royal Thai embassy in Paris. Download the application documents, and fill in before you go to the embassy. You should be able to get your visas in 2 to 3 days. If you want to stay in Thailand longer than 60 days you can extend the visa for 30 days, in any Thai immigration office in the country.