Once at HKG, you will not have to go through HK customs unless you plan on going out to the city if your connection time allows. You will also not need to claim baggage as your bags will be checked to your final destination, BKK. Usually there will be CX agents meeting you at the gate to direct you to your connection.

You will then need to head to transfer desks (W1/E2) IF you do not have boarding passes for the BKK flight, otherwise, proceed to the security lines near transfer desks that take you up to departure level.

You can shop, eat, walk, browse, lounge once you are up on the departure level. You can also use the Wing/Pier as an "arrival" lounge to take a shower before your BKK flight. For more info about the lounges at HKIA, do a search under this thread and you’ll learn more about CX lounges in HKG – they are very nice lounges although personally I prefer the Pier over the Wing.