Every guy coming to Bangkok at least thinks about having a sexual experience with a transexual. In a lot of cases you may even take one back to your room assuming she is a female.
The Thai word for transvestite girl is kàtoey (กะเทย). So if you want to ask her in Thai if she is a ladyboy, you would say: Kun bpen kàtoey mǎi (คุณเป็นกะเทยมั้ย).
As always, adding the particle kráp (ครับ) at the end of the sentence would make your look more polite.
You might also learn another useful phrase if you want to ask her if she has already been undergoing a vaginal surgery: kun tam sàláyá-gaam bplɛɛng pɛ̂ɛt rʉ̆ʉ yang (คุณทำศัลยกรรมแปลงเพศหรือยัง).
If she answers tam lɛ́ɛo (ทำแล้ว) it means she has done the surgery (literally: do already) and if she goes yang mâi dâai tam (ยังไม่ได้ทำ) it means she hasn’t (literally: yet not done). Like this you avoid facing a penis instead of a pussy (if you do try to avoid it).
You can also find Bangkok shemale, transexual, ladyboy, ts & male escorts from WikiSexGuide: http://www.wikisexguide.com/wiki/Bangkok