I was in Thailand, including Bangkok, a few years ago, and I had no significant concerns about thievery (far less than in some parts of Europe and North America), so don't let that stop you from using an SLR. I didn't do much photography of people, though, so I'm not qualified to make suggestions about how the locals take to it. But as Bill suggests, politeness and a pleasant smile in Thailand will usually get you the same in return.
If you're still in Bangkok, there was a great little restaurant (a few years ago, anyway) a few blocks from the Mandarin Oriental Hotel called "Tongue Thai"; if you like spicy food, their "hot lime sauce beef" was especially heavenly. Highly recommended if you're in the area.
For photography, a train trip to Ayutthaya is well worth a day trip out of Bangkok. Beautiful old half-decrepit temples. We took a third-class train, which cost all of about 40 cents US (equivalent), and it was a fun experience (not unpleasant in the least, as third-class trains can be in some parts of the world).
Lisa