"All these locations are not far from here so you can march there, you must be disciplined and listen to leaders. We will not carry any weapons except our foot clappers," he said, referring to the noise-makers wielded by the crowd.
Police estimated the crowd at 80,000, larger than a street parade a week ago that drew 65,000 people in a noisy but peaceful procession through Bangkok.
Hours before the rally, a small blast hit a government building in the latest of a series of about a dozen explosions that have been set off in Bangkok and surrounding areas in recent weeks.
Police said the blast went off outside the customs building in central Bangkok, shattering windows and damaging a van parked nearby, but causing no injuries.
"We still don't know type of bomb it was, we will have to wait for a forensic examination," a district police officer said.
The red shirts, largely from poor northern areas, say the government of Abhisit Vejjajiva, Thaland's prime minister, is illegitimate because it came to power with army backing in a 2008 parliamentary vote after a controversial court ruling removed Thaksin's allies.
Thaksin, who was ousted in a coup in 2006 and lives in exile to avoid a jail sentence for corruption, regularly addresses his supporters by videolink and on Thursday urged them to intensify pressure on the government.
He also raised the prospect of a campaign of civil disobedience if Abhisit continues to refuse demands to dissolve parliament.
A 50,000-strong security force has been in place in Bangkok and surrounding districts since the start of protests triggered by a court ruling that seized $1.4bn of Thaksin's fortune.