The question is perhaps too broad. What Parts or supplies? Wood, raw metal, hardware, instruments, engines what? Do you intend to finish it and test it there? The regs are different and pilot requirements are different.
Anyway, I suggest you start by contacting the local aero clubs around. Suggest you visit the Thai Aero Club's website and start there. You made no mention of where you will be located, so clubs tend to vary (some airports allow ultralights etc operation while other don't or can't. Local current regulations probably change based on locations (and things are kinda hot due to artillery border fighting with Cambodia).
If you intend to fly, you will need to validate your license. If you intend just to build, then other posters have a point that it would be a financial burden to then export the completed unit out. It is not difficult to import/export non mil. aircraft parts in most of the world due to general tariff agreements. (See WTO).
On the other hand if you wind up in Phuket, congrats! If you need a test pilot or labor building help suggest you contact this fellow who is looking for a new career. http://www.youtube.com/watch?v=YIMigVo1pyA
have a good time and good luck!