@Travis ******
Hi, yes, you will clear immigration in Bkk. Since you’ll be on connecting flight (if same airline), after having your Thailand pass checked, just follow the arrows saying “connecting flight to Chiangmai, Krabi …” There is an immigration desk right after you show your boarding pass (for your connecting flight) to the transfer desk. The IO there seems not as tough as what was mentioned in other stories. All I got asked of is if I have a visa.
I cleared customs and got my checked through luggage in CNX.
I think you’ll be on similar route, right? In my case, same airline entering Bangkok then connecting to CNX. Bangkok Airways.