If you are in Bangkok or any part of Thailand, its easy to travel into peninsular Malaysia (West Malaysia) by air, rail, road or sea. From South Thailand or Bangkok. Bangkok is linked to Malaysia by roads, rails and air.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).