I'm planning on booking a trip to Thailand, but just staying 1-2 days in Bangkok before leaving for the Philippines where I will stay for ~28 days, then going back to Thailand for about a week.

Since my return trip to Norway will be 35-40 days after entering Thailand, do I need any extensions or can I take the whole trip to Thailand and the philippines without visa since I will stay for less than 30 days in each country.

You don't need any visa or any extension.

So they don't say anything when entering Thailand and sees that my return ticket is 35 days later?

For your flight to Bangkok, the airline check-in staff may want to see your reservation or e-ticket for the onward flight to the Philippines within 30 days from your arrival in Thailand. Print it out and carry it with you.