I opened a bank account in Chiang Mai on a student visa almost three years ago. Different visa, but similarly difficult. Perhaps easier a few years ago, but you simply have to keep going to different banks until you find one who says yes to you. I was successful at Bangkok Bank in Central Airport mall. It was the third or fourth bank I tried. Dress as nice as possible and be as polite as possible. You can hire an agent, but that will cost you 5k baht or more. The bank may try to sell you insurance in order to open an account for you. That’s up to you if it’s worth it. Most foreigners like Bangkok Bank and Kasikorn. Be prepared for a few rejections, but someone will say yes eventually. Depends entirely on the manager and their branch’s current rules.
Yes, I did this for a few years. As the other commenter mentioned, make sure to cancel your visa at immigration before you leave Thailand. Also, you might be required to stay in Laos for a day or two before being allowed back into Thailand.