I am flying from Siam Reap to Chiang Mai with a transfer at DMK.  How do I locate the Air Asia fly-thru location and do they still have their own area for immigration?

Yes they do, it's very convenient, usually just a few people there and has a much more relaxed feel. Hard to say exactly where it is but once of the plane just walk towards normal immigration and you will see it on route, maybe a staff member there with a board..