Travel plan is Saigon - Bangkok - Shanghai - Saigon, in order to match the third country rule.

Will they accept my first flight as coming from Thailand or Vietnam?
Also, should I book the two flights (Saigon - Bangkok and Bangkok - SH) separately, in order to have a clear distinction between my travels?
Or will it be enough if I immigrate into Thailand and go right back through customs to catch my flight to Shanghai?

Thanks!