Protein supps from Capitol Club on Soi 24? Hmm, didn't know that. Glad I checked back on this thread.
As for bringing stuff in, Thai customs is notoriously lax. If you don't declare, they almost never search, just sit there with a bored expression and wave you through. Even post 9/11.
But ... if you get caught with a suitcase full of supp packs they will likely ask you to pay import duties plus a fine. Not really worth it? Also, if it's just white powder in baggies etc you can guess they will want to verify what it is.
As for where to buy gear (it's legal here, so I hope I'm not breaking any board rules): the best prices and selection I've found are at the first big pharmacy you come to walking down down from Robinson's Dept Store on Sukhumwit Rd. Soi 19. It's on the same side of the street, walking 'down' Sukhumwit (west-- towards Soi 17) as opposed to 'up' (east-- towards Soi 21 and Soi Cowboy). Those directions are easier to understand once you get here.
I think you can trust that pharmacy. They have a good selection and I don't think the family that runs it would mess around selling fake gear etc. Some little shops that only have one or two types of gear, I wouldn't buy from them.
The other poster's comment about MSG was very good. I used to try to get my veggies on the street (cheap, no prep) but the veggie dishes in particular are LOADED with MSG.
I second the recommendation about Villa and Tops as particularly good but really any supermarket will have what you want. Do you know where you'll be staying?
As for the women-- that's a whole 'nother subject. Just keep your wits about you and not slack off on the condom use.