Always buy from a site you can trust, especially if it is an overseas website. Certain indicators like their profile, 'ebay power seller', feedback, awards and acceptance of Paypal are positive indicators it is a reliable e-seller.
In regards of tax, it depends on how it is shipped. I have purchased many items from US, Japan and UK before, watches included. If you shipped via courier like Fedex or DHL, you are 99% surely to be taxed. But I have escaped tax before because the seller declare it as 'Watch for repair'. Not sure if it still works now.
If you shipped via US Priority Mail or EMS, you may have chances to escape tax because Pos Malaysia checks at random. However, if you declare the item at RM 10,000, sure kena wann! If the seller declare the item less than RM 500 and as 'Gift'; you will not be taxed BUT that will limit your insurance to RM 500.
So, there's some risk involved before and after the buying process online.
Hope this helps and good luck with your purchase!