The Mae Sai markets next to the border entry into Myanmar. Wat Phrathat Doi Wao can be reached from behind the market up the covered alleyway on the western side.
You can pass through the border with a passport (500 baht fee) into Tachileik on the Myanmar side where there is a large market which does accept Thai Baht. You should check visa conditions before exiting Thailand into Myanmar before you go.
To get to Mae Sai take a bus from Chiang Rai bus station up highway1 to Mae Sai city bus station. They journey takes about 1.5 hours. From there take a red songthaew to the border crossing.
Click on the gallery photos below.