This same question was asked a few days ago.
Here, try this site:

There is a Thai Embassy in Penang too. Your visa will be approved within a day.

There’s ‘Dragon Inn’ right at the corner of Chinatown (Petaling Street). Its not really ‘cheap’ but I would say its ‘ok’. There are also several others at Bukit Bintang and you need to take a stroll around that area.

There’s also some others located a few blocks away (nearby/same area);

1- Corus Hotel Kuala Lumpur (Jalan Ampang)
2- Traders Hotel Kuala Lumpur Level 18, Tower 2, Petronas Twin Towers

My personal recommendation?

Go to Hotel PUDURAYA (It is located on top of the Puduraya bus station). Rooms are EXTREMELY CHEAP and reliable (with little mess compared to other budget hotels). It is about RM100 per night (or less) and you can go to nearby Chinatown for shopping or other amenities located just a few minutes away.

Hope this helps and good luck!

As replied before, the cheapest hotels in KL are located in the main tourist area of Jalan Bukit Bintang and the Royal Thai Embassy you are looking for is located a few minutes away by bus/ taxi/ train. Hotels on Jalan Ampang are very pricey and the cheapest would be about US$ 50 for single occupancy.

Try searching….

Hey there!

I did some research for you and personally i would to recommend to you some of these budget wise hotel that are available nearby to the Thai Embassy:

Hotel Flamingo

De Palma Hotel

A simple tip for you…its always the better to call the hotel direct and ask for their current PROMOTION rate coz sometimes they do have discounted room rates and its whole lot cheaper…never book from the website or travel agents as they always will marked up the prices!

thebear answer this please..
=D