Total linguistic immersion is perhaps the best way of learning Thai because it forces you to use the language on a daily basis and with native speakers. By living in Thailand (or some other locale where Thai happens to be the primary language), you'll be required to speak and perhaps read and write in Thai to get by day to day. Immersion confronts you with a variety of experiences and occurrences that will compel you to draw on different vocabulary sets.
Language and culture go hand in hand, and by exposing yourself to the Thai culture you will familiarize yourself with the context in which the language lives as well as new vocabulary words. Dine at Thai restaurants, watch Thai films and attend Thai cultural events if you live in a city with a Thai population. Such cultural exposure may also help introduce you to native speakers of the language who may be willing to help you practice.
For the dedicated autodidact, language software can be a great way of picking up a foreign language such as Thai. There are a number of products on the market from which to choose. Transparent Language is a program that features 130 languages, including Thai, and is used by the Foreign Service Institute. Rosetta Stone is another software program that offers Thai studies.
Self-study can be beneficial but lacks the advantage of interacting with peers and learning from an experienced teacher. Enrolling in Thai language classes is one of the best ways for picking up the language. Formal classes will force you to listen, speak, read and write in Thai and engage with a variety of classroom and at-home exercises. Ideally, look for a course taught by a native speaker. Your local college, university or adult education department may offer courses in Thai.