The Red Shirts are in a dead lock now with the government and they need to create something to keep the momentum up. Just marching to the HQ of the Thai army and the Thai government will not create anything. People will get tired of moving back and forward and will go home sooner than later.
When the Yellow Shirts was doing the same thing they occupied Airports, Governments house and a few others places but the Thai government could still function.
So what can the Red Shirts do?
Do a sit down on all major roads and block all traffic. It will result in Chaos in the city and probably the Bangkok People will get angry.
Occupy an airport or port in Bangkok. It will result in blood since the Thai government has promised to move in if they do that. They can no longer say they are better than the Yellow Shirts
Keep protesting on stage where they are now. Result nobody will care what they do and they will soon be very few left.
To be honest I do not know what they can do since the Thai police and Army have shown that they will not be the first to spill blood.