Passport and Travel Visa
You should make sure your passport is not about to expire, nor the passport of anyone travelling in your party, and has more than 6 months validity left before your entry date into Thailand.
While you can get a new passport in Bangkok from your local embassy, southeast Asian countries generally will not give visas for passports about to expire.
On arrival to Thailand
On your plane flight to Thailand, you will be given an immigration card by the stewardess before. The card has two parts. In part one fill in information about arrival and stay in Thailand. In part two fill in information about departure from Thailand. Fill in both parts of the card and give it to the immigration officer upon arrival. It is best to fill the card on the plane.
Once you arrive, assuming you already have a visa, you will get into the immigration line where the officer will take your passport, enter info into the computer, and stamp your visa as used.
After you pass immigration officer, you will need to pick up your luggage walk through the customs. There is green and red channel for custom. Use green channel if you have nothing to declare. The Thai government officials are generally pretty relaxed when it comes to thing in luggage, and very few foreigners have to pay any duties.
After that, you should go to currency exchange to convert some of your home currency into Thai baht. There are several Thai banks which operate very fair exchange counters in the front of the airport near the taxi stands. The rates between the banks is very, very close if not identical. The banks and foreign exchange counters give much, much better rates than you'll get at any hotel or most vendor places.
Thailand is a relatively safe place. Nonetheless, you should not show how much money you have, and you should not carry too much money around. Keep your travellers cheque numbers in a safe place in case you lose them, and check off every one you use. You should also keep your credit card numbers, passport number in a safe place in case you ever lose them or have them stolen.