I would think the only real problem would be one of space ... in many places the massage rooms/tables would be a problem for four people. If you are staying at a hotel or have your own place in Bangkok, just go into any of the massage places and tell them you want a couple of massage guys to come back to your place.
Unless you're looking for some bizzare menage a quatre (??) I don't think this would be a problem and some of the better quality places with larger rooms could handle that on site.
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