Immigration's not generally the problem, actually--there HAVE been reports of folks getting refused entry to their flights in the originating country, since, legally, you're supposed to prove you'll leave within 30 days.

But once you're on the plane, I've never heard of anyone having trouble with the Thai authorities. If anyone says anything (and again, they almost never do), just tell them you'll be leaving for Malaysia by train or for Cambodia by bus, which will explain your lack of onward ticket. Theoretically, this ought to work for home-country airport employees, too, although I've never heard of anyone using this tactic.

Although the risk is small, you might also consider getting a cheap ticket out, on something like Air Asia, which you can either use or not use as you see fit.

Have a good trip!