Yes, you do, either through the power of you passport which is called visa exempt or VOA (Visa on arrival) or other type of permission to stay based on things like retirement, marriage, work or tourism and more, as well as LTR and DTV. Besides that you will have the Elite way.
However, this thread has nothing to do with above, or how you enter Thailand. This guy entered illegally as he admitted doing that through a natural border. I ssume you did that too, as you see it relevant to talk about that you also entered without visa.
To remain legally in Thailand you need what we call permission to stay. This guy did not have that.