Here are some shops in KL:
Hobby Haven (Yokomo)
TP Racing (Team Associated)
RC Planet
Tamiya Underground (Tamiya)
I happen to be paying KL a short visit now.
Only had time to visit Hobby Haven and TP Racing. They are about 5minutes away from each other so if you're pressed for time, they're good to visit.
I have ordered stuff from RC Planet's online shop. Good service.
Hope this helps.