I know you can buy 250 Honda Baja in Vientiane Laos from a guy call 'Mr. frek' Also in Cambodia in Phnon Penh there are a few people selling bike, with a bigger range. I imagine they sell around the 3,000 - 5,000 depending on size / age etc.
A scooter is cheaper to buy - watch out for the cheaper China ones, I have heard a lot of people having trouble with these. But you will be able to buy these in every town.
Another option is to head into Vietnam and buy a smaller bike there.
As for the paper work to get it out of the country, talk to Gt-rider dot com web site. These guys are based in Thailand and know all the latest information in regards to that.
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