Do I need a Visa for the final Destination?

Hi!
My flight goes Frankfurt-Shanghai, 2 days later Shanghai-Bangkok. I need an entry permit for Thailand, which they do issue on arrival at Bangkok airport. But I've read that if I travel on from Shanghai to a country which requires an entry permit, I need to show this (Thailand-)Visa in Shanghai in order to get the 72-hour Transit. So do I need to get the Thailand Visa before I start my journey or is it enough that I can get it at the airport once I'm in Bangkok?
Thanks a lot!
Thomas