There are quite a few sites e.g. Chrono24 and overseas watch forums, whereby individual sellers and grey sellers would advertise their watches. The easiest way to find them would be to Google the watch that you are looking for, and then go through their profile and feedback to ensure that you would be dealing with a genuine party. Since they would charge you for the courier anyway, I would normally have the European sellers send to my friends' addresses in UK (used to live and work there).
This way, if there was any problem with the watches, the discrepancies could be observed faster and disputes raised (but none so far). My friends would then send to me and I pay for the type of courier and insurance as I deemed fit. And did you know that some watches e.g. Seiko, actually have 2 years warranty for their European-sold watches as the competition in Swiss watches tend to have 2 years warranty- but the same Seiko watch sold hereabouts only have 1 year warranty.
No problems with Malaysian customs thus far. Although, point to note was that if you were sending purchased watches back to the seller for repairs or exchanges, you have to state the serial no. correctly in the declaration form as the local customs would check quite tediously.
There were also some manufacturers such as Steinhart and SevenFriday that I had made repeated purchases from their Germany and Swiss HQ, as it was harder to get their watches here. So far so good too.