I think everyone has to clear Immigration in BKK. If bags can be interlined then you can clear Customs in HKT.
If you require a Visa On Arrival I assume you would proceed to the area where they do that, in Concourse D just before the ramp up to Immigration. Then you would clear Immigration, then up to level 4 to re-clear security for domestic departures.
http://www.suvarnabhumiairport.com/p...ic_noBD_en.php