Peanut oil makes an excellent stir-frying oil for your Thai food, and it imparts a delicate, unique flavor. You can also use other heat tolerant oils (corn, safflower, sesame, or almond) in your wok. If the oil splatters a lot, then the heat is probably too high.
Lemongrass is a common ingredient in good Thai food, but don't try to make do with the dried, packaged version; it's nowhere near as potent as the fresh product. You should be able to find fresh lemongrass at any Asian supermarket. Frozen lemongrass is almost as good, however.