For a flight with a stop (the same plane with the same flight number) in China, you would have to deplane, go through immigration checks (in Dalian), and re-board the same aircraft. There is no need to go through security again.
If Beijing is your final destination, or if your bags are not checked through to another non-Mainland destination:
After you arrive in Beijing, you need to then go to the international baggage pick up area and go through customs for baggage inspection (green or red lanes as appropriate).
Note that there will also be domestic passengers on the plane (for Dalian-Beijing leg) whose baggage will not be in the same baggage carousel in a different arrival area.
Generally, you may get a card or a sticker identifying you as an international arrival and asked to take a shuttle to the international terminal/area. Ask for directions from the airlines staff when you are not sure.
I still need to check how a transfer to BKK would work in this case; the procedure is a little bit more complicated than normal International-International transfers in China since there is an immigration entry in China in Dalian already.