Yes and no... I was not able to get anything done in KL, they just don't know how to handle it there.
But I got everything done at the Thai border in Kayu Hitam (the main Thai/Malay border near Hat Yai) the first time I came back from Thailand. After you cross over to Malaysia stop just 20m after the checkpoint. You'll find 2 insurance companies at the right side (AAM and Kurnia I think) they will sell you an insurance (eg. 1/3/6 moths 3rd party) for pretty cheap (but cannot remember how much exactly). Once you have the insurance you can go an "register" your bike officially in Malaysia next door, there's an JPJ office (transportation department), they'll give you a sticker and stamp for 1 or 2 months. On one occasion I asked the officer there if that could be done in KL too and he told me no, he even insisted to come back after 2 months to get an extension in case I stay longer than that in Malaysia.
But as everything in Malaysia it depends on who you talk to, maybe you walk into the JPJ or AAM office in KL and you find an officer who knows what stamp to put on what paper :-) But if not... I wouldn't bother too much. Never been stoped by the police here in Malaysia, never been asked any questions, the bike has been for 9 months in the country. Malaysia is very easy going, no funny computer things which connect your passport to your bike, at least compared to Thailand where you usualy get a 30 days stamp for your bike even if you have a 60 days visa.
One thing, in case you will ship to Indonesia from Penang make sure your CDP is stamped. I did not bother to have my CDP stamped every time I came back from Thailand (apparently some of the officers at the border don't know or do not care about it, other travelers had to stamp the CDP, I crossed the border 3 times and have never been asked to) and finally the customs officer in Penang gave me a hard time, he insisted to have the CDP stamped out even though it was not stamped in, these guys just don't know what the CDP is for and think you cannot enter Indonesia whithout having it stamped out in Malaysia.
Happy riding, enjoy SEA!