I got a 30 day visa exemption when I flew into Chiang mai. Its nearly up. How and where can I extend it for 30 days. What do I need to do exactly thanks

If you are still in Chiang Mai you will do it at the new office. See: Immigration Promenada One Stop Service

If not then you would do it at the local office for where you are located.

You will need a completed TM7 application form with a 4 cm X 6 cm photo attached. Copies of passport photo page, entry/permit.to stamp and TM6 departure card. And 1900 baht to pay the fee.

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I need proof where I am staying?

You don't normally need proof of where you are staying. You do need a address to put on the application form that is within the assigned area of the immigration office where you apply,

Some offices might want a receipt for the hotel. guest house and etc where you are staying.