As christep mentioned before, you would want to take the train from Hong Kong rather than Bangkok. From Bangkok to Guangzhou the only real option is to fly - from the looks of it the airlines on this route are China Southern, THAI and surprisingly, Ethiopan Airlines - who have return flights for US$250, which isn't too shabby. As christep also mentioned, it's worth looking at the air passes available that might best meet your needs as well, to save you the additional costs of a side trip.