In any dealings with the local police forces it will pay to be deferential. You’re most likely to come into contact with them either through reporting a crime (KL has a tourist-police booth at the Malaysia Tourism Centre for this purpose) or while driving. Minor misdemeanours may be overlooked, but don’t count on it.
Drug trafficking carries a mandatory death penalty. A number of foreigners have been executed in Malaysia, some for possession of very small quantities of heroin. Even possession of small amounts of marijuana can bring a lengthy jail sentence and a beating with the rotan (cane).