Bimo,
There is regularly scheduled bus service between Hat Yai and Phuket. If your KL bus does not stop at the bus station, you need to hire a tuk tuk, moto or taxi to take you there. Then pick the next bus for Phuket. Some of the private KL buses may drop you at a travel shop. You do have another option if that happens. The travel shops have mini vans that make the run to Krabi and Phuket. Book it right and leave from that shop. I recommend you travel via the bus. I want as much metal around me as possible when on the Thai roads. Too many of the mini van drivers think they are driving a race car instead of transporting people in a safe manner. Once in Phuket, any tuk tuk or taxi will take you to the bus station when ready to leave for BKK.
There are two types of buses in Thailand: public and private. The private companies usually leave from a travel shop or hotel. Most of the problems of theft have been on the private coach system. I recommend you get yourself over to the bus station. The Thais use the gov't bus system, so should you. Take the overnight bus to BKK as it saves one night accommodation and with luck you can get some sleep.
Bimo, unless you are in love with Phuket, I suggest you choose the Krabi area for your holiday. Phuket is expensive and crowded. Krabi can be much cheaper and more scenic. You can stay in Krabi town and day trip Ao Nang beach, Railay Beach, Phi Phi, Tonsai beach, or island hop via long tail boat. Just a thought. Good luck with your holiday.
[ Edit: Edited on 22-Jan-2009, at 10:49 by vegasmike6 ]