Originally Posted by Snakeboy

Mark has pointed out some important things, namely tht you need a valid national license and a valid IDP. And that you will need to go to where youre passport is issued - USA. If you dont have this paperwork you will most certainly void all insurances.

About Thailand I know a littlebit as I have bought a bike there myself. They dont care what kind of visa you have so its totally irrellevant. But you will need a sertificate of recidency to legally buy a vehicle in Thailand. You can get that at any immigration office or even your embassy. But you will need to get your landlord or similar to write a document that says you stay in this or that place and then bring it to the Immigration office.
When you buy a vehicle in Thailand it takes a while to get paperwork sorted and a new plate. But you can travel with it domestically, but you cannot cross any borders before you have all paperwork done and new plates on the bike. How long this takes varies from province to province. In my case it took 2-3 months before I got all paperwork done and new plates. But other provinses might be faster (or slower).

You will get basic third party insurance as it includes in the rego costs. But of course if you cross into another country you will need to buy insurance there.

Yes crossing borders in SEA is a PITA, and it has become even more difficult the last years.
Laos for example do not allow bikes less than 250 cc into their country. Well at least from the thai side. So you on a 125 will not be allowed into Laos coming from Thailand. Laos has also just started to demand thai plated bikes to ride in groups of at least 5 bikes and have permits from issued via Lao travel companies. The only bordercrossing that dont enforce this for the moment seem to be Chiang Khong/Huay Xai border.

For Cambodia - some border might allow you in but in general they want you to have a permit from central authorities. But then again - Im not so sure they are happy with small thai plated bikes into their country.

For Malaysia - it should be possible to enter if getting the correct paperwork.

For Myanmar you will need permits and guides - its mandatory!

And for further travel - such as India, Pakistan, Iran you will need a Carnet. Also Indonesia and Australia are Carnet demanding countries. And as far as I know there are no Carnet issuing organisations in Thailand - so thats gonna be a problem. I have heard about some foreigner who got Carnets in Malaysia for their thai plated bikes, thus it might be possible....

There are many things you need to consider...