Thanks DrJack54, BritTim and everyone else.
Just to be clear, I am NOT flying from Thailand to Laos, but I am crossing the border via land. In total I will stay 21 days in Thailand before crossing the border and since I am allowed to stay 30 days visa free I just need to be able to prove this I think. I was hoping that for example showing reservations of a hotel in Laos would be enough, but based on your answers this is probably not the case.
I will contact the embassy to see if I indeed need to show something to my airline in that case I will look for a rental ticket. However, if anyone else has had experience with visa exemptions and then leaving the country via land I would love to hear.
Cheers,
Max