I paid a visit to Malaysia just under a year ago and found that all the coasters listed on RCDB were easily accessible from Kuala Lumpur, and could probably be visited in two/three days.
I would have to agree with dementedguy in that the best park in the area was Cosmo’s World, home to Supersonic Odyssey. You’ll find this in the Times Square shopping centre. For an indoor park, this one was very good, and very cheap entry, with a nice selection of flat rides and one good Intamin coaster. I have to say that during my visits at the end of September last, Cosmo’s World was not especially busy, especially in the mornings and later evenings, and on a couple of occasions there was a wait while enough people turned up before we could go. One other good point is that if you want to take pictures of the coaster or film off ride then there are so many places where you can do this, not just from the park but also from some of the walkways around the building.
I would also agree that Genting Highlands is worth a visit and if you don’t have a car then you can get the coach from the central railway station that will take you to the cable car that brings you to the park. At over 6,500 feet it is certainly the highest theme park that I have visited and they do have a good selection of rides and possibly the most amazing view from the top of a corkscrew lifthill. However make sure you check their website before visiting as it has a maintenance schedule showing when rides will be closed. Also, during my visit the mine train would only run/twice every half an hour so when the sign says open at and gives a time then be in the queue for that time. Also be aware that low clouds/mist may cause the rides to shut.
Another park fairly close to KL with a couple of coasters is Sunway Lagoon. It is real easy to get to by train as far as Subang Jaya station from where a bus takes you direct to Sunway Lagoon shopping centre entrance. The theme park is round to the side and you enter it through the shopping centre car park. The Buffalo Bill Coaster was a fairly average powered coaster but Lost City of Gold was a really fun Soquet mine train with a couple of good spots of airtime. They also have a good wet log flume that weaves its way around the power coaster, a rapids ride, a small selection of flat rides to enjoy and a big water park.
If you are after all of the credits then Mines Wonderland is also easy to get to by train, 10-15 minute walk across a couple of busy roads from Serdang station although you may have to cross one or two busy roads from the station, However, if you are not bothered about missing a credit then give this one a miss because it was the most expensive of all the parks visited and had the least interesting rides. The one and only coaster is a small family coaster, looks like it could be a Soquet, which comes off the lift hill, through a helix and back into the station.
Hope this helps with your trip