Thanks very much to all. I think we'll take your advice and take an earlier flight down from CNX and try to get some shuteye near the airport. I'll reach out to Thai also just to ask directly if the overnight connection on separate PNRs is an issue and not possible, but given the consensus here it seems the most sensible thing to do is go down to Bangkok earlier and stay there.

Thanks again, this has been a great help, and if by any chance I end up ignoring your advice and trying anyway to check through luggage I will report back on my experience.