It will definitely be best to exchange here.
Traveler's checks are a safe way to carry "cash", and receive a good rate of exchange. Most vendors won't accept them, but exchange booths are everywhere. TCs are charged a 33 baht exchange fee.
If you have an ATM card, with a 4 digit PIN, you can use machines to acquire baht. There is a 150 baht fee for using Thai ATMs. The exception is AEON ATMs, which assess no fee. Unfortunately, AEON machines are a bit few and far between.