I'm flying HEL-ARN and the ARN-DOH-BKK on separate tickets.
My flight from HEL will arrive in ARN Terminal 2, and the next leg will commence from Terminal 5. There's a two-hour connection. Do you think it's enough

I have done this a few times, 2 hours is plenty of time for this connection. You can choose to do the transfer T2->T5 either airside or exit at T2 and use the shuttle outside of terminal. I find the airside transfer easier. Follow signs to T5 transfers, you will go down the stairs (this is before baggage carousel). There is a call button there for the shuttle which will the arrive within 10 min and take you to T5. Once there, you will have to go through security and immigration before proceeding to the gate.

Another question:
Am I able to check my luggage all the way from HEL to BKK since both airlines are OneWorld? Or do I need to wait for the checked luggage and then proceed to check-in / baggage drop of the next flight?

Yes, no problem at all. Just bring a printout of your QR ticket to AY check-in at HEL. QR will give you new boarding passes at ARN before boarding even AY will have issued these already.

Have a safe trip!