I have been given a job offer for a job in another country (Chiang Mai, Thailand), it is the first time I work abroad so I am not sure what to do to secure myself, should I ask for a signed contract before I leave my current job and country?
Yes, absolutely !
Don't leave your job, or do anything as long as you don't have a signed contract in front of you.
A job offer is worth nothing. It is only the mere mention of a possibility of you working somewhere.
Usually for a signed contract, especially if it is abroad, they would allow you a certain amount of time before signing the contract and starting the job. That would leave you time to give notice that you're leaving to your current job and then start to planify you moving abroad.
Good luck, and as Foobar said, be certain this isn't a scam before investing yourself in anything!