Thanks STBC, I found out that it is not possible with this airline. Air Asia is a point to point carrier and does not do through check in of baggage.
I didn't book all segments on a single ticket because Air Asia does not allow it, they don't do extended itineraries, only A to B, i.e. DEL-BKK, they cannot do DEL-RGN through BKK even though they fly BKK-RGN.