Madjetter,, if you are connecting onto Phuket (international->BKK->HKT) there is a separate path for you. You just go through a light transit security at BKK and clear immigration at HKT. At least that was how it worked for pre Covid.

Look for the ceiling signs for "Transit to Chaing Mai, Phuket, ,,,"

The other direction though (HKT->BKK->.internationa) I think you will have to clear both exit immigration and security at BKK.