I'm going to school in August in Chiang Mai and want to switch my visa from a non immigrit "O" to a non immigrit "ED".

Do I have to leave the country or can I go to Chiang Mai Immigration (where I live) and do the paperwork there?

I assume you are talking about changing the reason for one year extensions of stay or applying for ED extension of stay? The entry visa does not have to be changed - only the reason for extension changes. If you are changing from a wife type O extension of stay to education they will probably require your wife to sign off (I know they do when you change to retirement). Other that that you would present the education paperwork rather than the marriage type and they will make entry of change and the new extension stamp.

When I retired from the army, I was supposed to fill out one last travel voucher after I completed my final trip home. I left 3 months after I retired and forgot to fill out the travel voucher. DFAS took back the advanced they gave me in May (last month). My income dropped below 40,000 for the month of May. I asked immigration in Chiang Mai and they said this would be a problem on my next extension.

Switching to an ED visa seems like a good fix. I just want to be able to do it here without leaving the country.