Global certainly have a selection of different materials in a variety of sizes & would be worth a visit.
Personally if i had the skills necessary to build something ( ) then I would certainly look at building it in wood rather than using veneers - I can't imagin that there would be a huge difference in price, but a huge difference in quality.
I do not know of any wood sellers in Udon but there are a couple of places that sell it just outside Nong Khai - on the road directly to the bridge, without going into town.
Using either veneers or wood it would be necessary to treat them against termites...