check your bag all the way through. Then it is the airlines problem to get you your bag. i would not claim in Bkk becasue Thai and CX are at oppisite ends of the airport. Claiming your bag and then checking in with Thai would be a nightmare in my opinion. Claiming it in HKG and then again in BKK or CNX all seems like a hassle. How long are you going for? Do you even need to check the bag?