No need to bang you head about this. Connections works very well at BKK, even when on separate tickets.
If you book HKT-BKK on TG, your bags will certainly be tagged to final destination. TG at HKT is doing this very well and frequently, even for non Star Alliance partners. I dont know for PG. Please keep in mind that there are 2 airports in BKK; your international connection will be from BKK rather than DMK. Please make sure you dont book a low cost carrier to/from DMK.
When connecting from HKT to internation flights at BKK, you will clear immigration at HKT. There is no addition check at BKK - just follow the signs upon disembarkation, take the escalators up and clear the security check, then you be on departure level. You may need to pick-up your onward boarding pass at a transfer desk BKK (airside transfer desks), but that will not take you long.
I believe the minimum connecting time at BKK is 75 min. No need to plan excessive lay overs at BKK. If your int. flight to BKK for some reason is delayed you would be able to rebook your domestic ticket for a modest fee or if everything fails, buy a new ticket (domestic fares in Thailand are very reasonable so it will not be a disaster even if you were forced to buy a new ticket to HKT)