You never know until you check in, but in most of my travels from LAX to BKK, I believe my luggage follows me. Most importantly it's at baggage claim when I get there so I have never cared how it got there. Best not to travel with things that may be illegal in any of the countries (weed). Here in Thaiiland we got whatever you need, if we ain't got it, you probably don't need it.
Wongwian (Yai) was just ok when I lived in the area (Lived Pinkloa and Bangwa). Since I moved away I understand they've added a couple of trains otherwise it has sucky traffic. Silom has a nice charm.
I think Bangkok is an awesome city and a lot of fun... However, found the lack of Engish to make things more challenging. I now live outside of Pattaya and English is pretty common. Have you thought about other areas outside of Bangkok?
travel router - I think you mean mobile hotspot, use wifi for internet access across several devices?
VPN - encrypt connection between two computers (routers, etc). Used often to hide your current location.
I think you want the mobile hotspot. If you are using a US phone than you will want one of these. Or, buy a cheap phone - does the same thing but then you have an international phone. Mobile wifi will get you better quality internet probably.