Wow! What an exciting adventure you've laid out for yourselves!
I can't help you with getting married in Thailand, but I knew a bit about adapting to a new location, new culture and new language.
The biggest thing I'd tell you is that the biggest challenge will be culture. Until you've done it, you can't imagine how big an issue this will be for you. You are not usually conscious of why you see the world the way you do, you just do. Spaniards will see the world in a very different way, and until you understand how they see it, it will just seem like they are being strange. That will be a source of stress, and unless you understand the phenomenon, you will not know why you are feeling stressed. It can be hard on your relationship with your girlfriend/wife, and with others. I'd say read all you can about Spain, about the particular area where you will live (there's a lot of diversity within Spain, as I understand), about cross-cultural communication and about culture shock.
I've lived in PNG for almost 10 years, and I'm not over culture shock. I realize now that I never really will be. Hopefully, the move from one European culture to another will not be as extreme as from the North American culture to the Melanesian, but it will not be easy.
My advice about language is to really jump in. My personal temptation is to not use the new language until I can meet some standard. I had 5 years of school Spanish, and I lived in a community where 40% of the population spoke Spanish, yet I never really managed to become fluent because I was always too shy to speak Spanish. My father spoke Spanish and was the pastor of a bilingual church, and still I held back. Foolish!
When we first came to PNG, our leadership had the good sense to insist on immediate language immersion, and sent us to a village to stay for 2 weeks. We'd had the chance to practice Melanesian Pidgin (the day-to-day language of PNG), so we weren't helpless, but immediately we had to start using it. Unfortunately for the intentions of orientation, there were a lot of English speakers in the village that they sent us to, and many of them were eager to use English, so we "cheated" quite a bit. If you can put yourself in a situation where you are forced to use Spanish, even if you can't use it very well yet, you will learn a lot faster than if you just learn from books. Also, make it clear to your friends that you want help and correction. Some people will, out of politeness, never correct your errors and mispronunciations. But if they understand that you want to do well with their language, they will help you, and also accept you more readily.
What about work? I know that you have said what sort of work you do, but I have forgotten. What sort of work does your girlfriend do?
By the way, having watched a few couples get married outside their own countries, it's not always straight-forward for a marriage (especially a new one) in one country to be recognized in another. Be sure you get good documentation in Thailand, or else plan just to be married again when you get home.
Our greatest fear should not be of failure, but of succeeding at things in life that don't really matter.--Francis Chan