Two options you can do are either
1. Clear immigration & custom in BKK, and re-checkin at Domestic terminal.
2. Remain unclear and do everything in HKT.

I also recommend #2. A couple reasons. Clearing Immigration/Custom in BKK requires you to haul all your luggages and walk to Domestic terminal yourself through a hot walk-way (about 0.5kms). And immigration/custom line in HKT will be a lot shorter than in BKK.

Get your luggage tag to HKT, and when you are in BKK terminal, go to domestic transfer area. They will give you a sticker you have to put on the BKK-HKT section. Once plane arrives in HKT, there will be a ground agent directing you to international arrival hall, instead of domestic arrival hall.

Have fun in HKT