Run with 240volt here in Thailand or use Step down transformer?

Higher voltage lower current is always better within limits.  Step down transformers are a challenge in themselves.  

if your using digital and-or a turntable you may want to see if its compatible with the 50hz supply, most amps and preamp are fine with either.

other than that, do not plug a 115-volt component into a 220v supply without a step-down transformer unless it has switchable voltage settings. plug types usually make this imposable but there are cheater plugs out there. 

I have moved to Europe, from the USA, twice. Simply bought myself a 2 kW voltage converter/power stabilizer. Worked perfectly for me. Alternatively, just buy a 240V-120V transformer and use it with your power conditioner. See my previous post on this subject.

If your equipment has a switchable input and you can set it to 240V, that will work just fine. I have owned various pieces of QUAD and Revox equipment with 100, 120, 220 or 240V switchable inputs that worked just fine in the UK (240V), Europe (220V) and USA 120V.

Warning: A lot of Krell, Martin Logan, Mark Levinson etc. equipment have a voltage/frequency sensing chip on the power input board. If it detects the correct voltage but wrong frequency it will not work. I found out the hard way when I tried to run my Krell HTS on a 220V-120V transformer; 120V/50Hz instead of 120V/60Hz.

Depends on the gear and what you find.  Amplifiers that natively do 240V/50Hz will perform a little better without a step down transformer.

All your other gear will perform great except, as noted above, turntables which rely on incoming AC frequency (Hz) to run.

If you must have something that can only run on 120V then you have no choice about the transformer. Other than that I would stick to the voltage that's compatible with the wall outlets. There is no performance change one way or the other with equipment that is sold with deferent primary voltages in the power supply --they all have one spec sheet.