I wonder is anybody doing this? Using THai Adsense, and I wonder if you can withdraw it to your bank or not? Or you get only checks ?.....

The simple answer is yes, you can withdraw to your bank account. The once I know for sure working in Thailand is SCB and Citibank. I am sure more are working too.
And yes there are people doing this, but it´s just another hard way of trying to make some bucks. The days of easy money on Internet is long gone.
With that said, nothing is impossible.