Agreed about Malaysia being a lot cheaper than Thailand for watches. I was in BKK in September for the Watch Fair, which promise "huge discounts". Yeah right. There was a good amount of cool stuff (I finally saw a Ressence in the flesh) but the prices were very high.
The 2 best places for buying new watches in Asia are KL and India, IMO - the latter doesnt have the same selection that you get elsewhere but for more popular brands (Rolex, IWC, Panerai, JLC, etc), the prices are really good. KL also has some excellent prices.