Malaysia has one thai embassy and 2 Thai consulates. If you decided to apply there, thai consulates are advisable than embassy. Consulates are in Penang and Kota Bharu.
I have been living in Malaysia with Malaysia My Second Home (MM2H) visa which was previously given you ten years renewable visa. I was told that it is no immigrant visa thus I am not eligible to obtain PR.
Myanmar, Laos , Indonesia are still available to apply in person. Myanmar and Laos are appointment system. Indonesia is allowing to walk in without appointment.
To be honest, I am a Penang resident, there is no issue to apply in Penang but as a traveller, your port of entry should be Penang airport upon showing entry stamp.