My wife is currently in the UK in her settlement visa which expires in October 2015 we are looking to go to Vegas next year June time for a friends 40th

Depending if she passed her life in the UK test and has b1 English this year we may have to extend her current visa for two more year

What are the options for applying for the visa if she extends her current visa does she have to go back to Bangkok or can be done in the UK

She can apply for the visa in the UK at the US embassy in London since she would be considered a resident in the UK.

See: http://london.usembassy.gov/niv/apply.html