For a METV you will need to provide a bank statement showing a deposited amount of money on it (i don't remember exactly how much is it, it should be around 6000 - 8000 euro). If you can't provide this statement, the easiest option will be to obtain two SETV with an extension each (2+1 × 2, 6 months of permitted stay). You will have absolutely no problem getting two back to back tourist visas. From Chiang Mai you can go to Ventiane, Laos, where i had the smoothest overall experience. Don't mention muay thai training, just state, if asked, that you are on a 6 months holiday.
Came back from Penang last week for a TR visa. Did it by myself though, no agencies. They ask for return ticket, in my case they even asked for a bank statement since i am on my 18th month using TR visas.