Hi
Are you just going to Thailand, or are you going to Laos/Vietnam/Cambodia as well? Because if you're only staying in Thailand then doxycycline is not necessary; there are no major issues with malaria in Thailand apart from at the border areas (with Myanmar, Laos, Cambodia etc).
I took doxy in SE Asia when I travelled through Laos, Vietnam and Cambodia and the only side effect I suffered from was in the latter stages of taking it I got heartburn. I think this was due to me not being religious about taking it on a full stomach after a meal; if you have it when your stomach is not full then it can irritate your stomach lining.
The other commonly-reported side effect (there are others less common) is that is makes your skin more sensitive to sun. I didn't find this myself but of course try to slap on the sunblock as much as possible to avoid burning anyway.
IMHO doxy is the best anti-malarial for SE Asia, despite these side effects and despite the fact you have to take it every day. Just be sure to take it before you reach the malarial area for the allotted time and also take it afterwards during the possible incubation period, take it regularly when you have a full stomach, and you should be fine. Couple it with covering up at dusk/dawn when the biters are most active (they love to chew on ankles/elbows!) and you should be all set to avoid malaria AND itchy bites