I have lived in UAE and also Malaysia and know of what Saudi is like so have some experience in Islamic countries.
Shorts/T-Shirt are fine in Malaysia. Normally the religious "police" as such (yes there are some) only advise Malay women on their dressing sense, not the men or westerners. KL is fine for casual clothing for western people. Never had any issues over there. However two of the states in Malaysia Kelantan and Kedah are ruled by an conservative islamic party and are more strict than the other states of Malaysia.
I have found the following:
http://www.pccmalaysia.com/road/safetynotes.phpSome interesting notes...esp the one about body guards and magnums?
From living there, Malacca is an excellent place to visit, Ipoh, KL and of course Penang.
If you want to have a some climbing, the Genting Highlands or Cameron Highlands.
Genting Highland -
http://www.climbbybike.com/climb.asp?qryMountainID=8170Also here is a review of another riders tour 6-7 days which included the Cameron Highlands
http://travellingtwo.com/resources/malaysia/junglerideAnother option might also to email some of the riding groups over in Malaysia as they may have had members also complete tours around their spectacular countryside.
If your worried about your stomach, take some tabs with you (forum isn't letting me spell our i-m-odium) but generally eat where the locals do and you will be fine if you want good local food. It is the one thing about the place that I miss dearly.. the food. Chinese Malay food is simply the best over there.