Where is the best place to exchange £ Stirling into Thai Baht ?

Visiting Malaysia today and I had to close out my bank account here. They gave the money to me and cash. It's a significant amount.

Is it better to buy Thai baht here or bring it back to Bangkok and then deposit it in the bank as is (if possible) or Go to the money Changers? My bank is Bangkok Bank. I think I know the answer but I'm just double checking with the experts here.

Hello good people some advice please

I have some UK paper £20 notes I'm trying to exchange for bhats but the money changers refused, would normal banks take them?