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'''Hat Yai''' is a city in southern [[Thailand]]. When walking from the train station follow Tamnoonwithi Rd, continue out of the city and then walk over a bigger rd. Turn right on the next bigger road which should have signs for [[Sadao ]] (a town south). It is not difficult, you can always ask local "Malaysia?" and point to both directions and see what they say. When walking down the highway (its just a big road) I got a lift just before the road turned into a proper highway out. When you enter Malaysia you are only allowed to hitchhike at toll stations or rest stops.