kl will be the cheapest...go to a place in sunway (1/2 hr out of kl central) called ss racing...cheapest place i came across the times i was over there & have a huge range of new & used gear...
personally wouldnt bother bringin in a zorst as u can source here locally cheap as (sub 1k for staino systems) & be a hassle considering weight/size etc...
as for bringin new items into country ensure you remove them from boxes...*cough* to avoid import taxes *cough*