Unless you intend to take the train out the following morning you might be better staying in a different area of Bangkok. If you had a place near the train station you would be spending money on Taxi cabs or taking the Skytrain to everywhere instead of walking.
Khao San Road is okay if you are young, no Skytrain in that area though. My preference is somewhere in the Siam or Sukhumvit Road area (low number end.) This area is an easy walk to the Skytrain, street vendors, restaurants, bars and malls. If you are near the Skytrain you can use that overhead train service to take you to the train station when you need it.
How much does cheap mean to you, cheap doesn't mean the same for everyone! Check out this place SUK 11 HOSTEL, Sukhumvit Soi 11, near the Nana Skytrain stop. Various style rooms. http://www.suk11.com/
You can find real hotel rooms starting around 600 baht in Bangkok, these rooms have air and private toilets and showers. Dorms with fan only will be cheapest if you like sleeping near total strangers and sharing toilets.
Good luck.
(Skytrain and train station are two different things, Hualampong is the main train station for rides out of Bangkok.)
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