If you plan to stay long time in Thailand, I suggest you to get a Thai visa at the nearest Thai consulate or Embassy.
You can apply for a tourist visa which is valid for 60 days. In some consulate they issue also double entry tourist visa which will last 60 Days, then you go in Lao and when you' re back you get. again 60 Days.
At the moment Thailand is offering tourist visas for free because is trying to increase the tourism.
It is useful to know that in Vientiane there is also a Thai Embassy where you can apply for a Visa.
You can get Lao visa directly at the border.
Last year, a friend of mine with a one-way ticket leaving Milan, was not allowed to fly to Bangkok. At the check-in, the airline staff told him that he have 2 options if he want to leave to Thailand:
1) Buy a return ticket directly at the airport
2) Apply for a visa in any Thai Consulate or Embassy.
So I suggest you to apply for a Thai visa and buy a one-way ticket
Once you arrive in Thailand is very much unlike that somebody will make you a problem if you don't have a return ticket. You have a visa issued, so you are fine with the custom.
On this website http://www.thaiembassy.org/ you may find the nearest Thai consulate or Embassy