It is curious to me that many feel by trying to blend in, it will be a much more enlightening experience. If you want to experience the culture, that is one thing, but to try and "blend in" or "getting involved" will never allow anyone to truly understand the culture that surrounds them.
I know I am not the only one to have spent time in other countries, but you will never be accepted as one of them because you are a foreigner. I have always treated people the same, which is with respect if I am in their country. It is how I would like to treated by others who visit my country. But, they will never be like an American because their culture prevents that.
Do Thais or Cambodians really care if you are trying to talk in their language? I don't think so as long as you are not working in their country and taking jobs. I have circled the world a few times and found things to be very similar with regard to how you are treated. If you respect others, they will normally respect you and you don't have to speak their language for this to happen.
How much you get "involved" with the culture around you is an individual decision. There is no right or wrong way to live in a foreign country. It will always be foreign, so how much effort you put forth is up to you. Personally, I do not try to engulf myself with things going on around me. I take it all in and go to functions I want to see and don't go if I am not interested. I do not go because "it is the right thing to do."
Enjoy your stay in whatever country you choose, but never believe you will be looked upon as anything other than a foreigner.