Any advice for taking a train to/from DMK?

My advice would be to not take the SRT train, unless you are trying to catch an outbound train.

What is your destination?

If you are heading into town various trains from the central, north and northeast stop at the Don Muang SRT rail station. More in the AM as these are overnight trains which departed from their starting points. Roughly every hour or so. Fares range from a high of 21 baht (first class, where available) down to 5 baht for third class. The trip might take upwards of 1 hour as these trains have to cross many surface crossings in Bangkok.

As mentioned, all these trains will also stop at the SRT station at Bang Sue, where you can walk to the MRT (subway) terminus.