Make no mistake about it: KL is hot and sticky. Follow the locals' lead on how to dress for the heat – best achieved not by stripping down, but by wearing lightweight materials; opt for synthetics that dry quickly. Covering your shoulders and down to the knees will be seen as respectful by Malaysians and will attract less attention.
With uneven pavements to traverse, flip-flops (thongs) may be too flimsy to withstand a few days of exploring KL; you'll be better off in sturdier leather sandals or lightweight canvas sneakers.
KLites like to dress up for a night out at a restaurant, bar or club, so put on smarter clothes and shoes if you're heading out on the town.