You can activate data roaming and use data provided by your current domestic provider. But be aware that this will be very expensive. If you intend to use this option, you should expect a hefty phone bill when you get back home. Alternatively, you could buy Pocket Wi-Fi (a portable device that generates a WiFi connection for your phone). This option is also expensive and you’ll have to carry the device everywhere. A virtual SIM card for Thailand is the cheapest and most convenient way of connecting to the internet.