I had a SYD TG/Menzies agent refuse to through check a bag beyond the connection in BKK if I was going to leave the airport. I had a 14 hour connection. On most 10+ hour layovers, I'll get a room, and don't want to haul more luggage than I need. Especially with the small trunk space most taxis have in BKK.

Perhaps those are the rules, but I've done it 30-40 times at different airports around the world.