I've never used an agent, but my understanding is they use various methods. A guy i know has his passport collected from his home and it's returned about two weeks later. He doesn't have to attend a bank or immigration office. He pays 30,000 for this service. My understanding is a fake bank account is created in his name which he never has access to.
The agent opens an account in the applicant's name into which they put the 800,000 Baht into. I'm sure they don't put that sum of money into the applicant's own bank account. They'd disappear real quick!
I'm Australian and I visit Australia twice a year so no big deal for me. I'm switching to DTV later this year so I'll be doing that from Australia as well