Welcome to FT chunnu!

Is this itinerary one single ticket or two different tickets?
If its one ticket, then there should be no problem checking your luggage through to Delhi.
If its two different tickets, then make sure you have both the ticket details when you present at Jakarta. Thai airways will most likely be able to interline your bags to Kingfisher.

WIth respect to transit visa, its highly unlikely you will need one at Bangkok. However, What country issued your passport?