By Air. If you are in Bangkok or north Thailand, a quick way to reach Malaysia or Singapore is to fly. To Malaysia: Fly into Malaysia if you want to go to Kuala Lumpur or to the many international airports in peninsular Malaysia (West Malaysia) or to East Malaysia (Sabah and Sarawak).You can fly from Bangkok daily and directly to KLIA (near Kuala Lumpur) or Penang Island (northern part of W. Malaysia).o Malaysia: Fly into Malaysia if you want to go to Kuala Lumpur or to the many international airports in peninsular Malaysia (West Malaysia) or to East Malaysia (Sabah and Sarawak). You can fly from Bangkok daily and directly to KLIA (near Kuala Lumpur) or Penang Island (northern part of W. Malaysia).