it is illegal and if the immigration officer is caught (this does happen) all of the visas are cancelled and you will have wasted your money and be leaving Thailand.
you can get a visa in your home country before travel. If not and in Thailand already you might need an agent to open a bank account. You don't need an agent for the rest of the visa process it is easy.
I got a receipt when I extended, but I didn't keep it. This seems a bit over the top even for Thailand. I guess take a picture of the receipt from now on.