While it is considered by all accounts to be a minor nations, Malaysia can be considered somewhat well-rounded, due to its access to some of the better weapons of the British arsenal, and its unique cultural bonuses, allowing for a mid- to late-game boom and victory.
Instead of building caravans, Malaysia can spawn them for free with each Commerce tech level gained, thus ensuring less micromanagement in trade. Additionally, tax upgrades can be obtained for free, requirements willing, meaning that those self-spawning caravans are also very effective with almost little prompting at all. The 50% extra food you begin with and the discounts you receive on civics research means that you should plan ahead how to benefit as much from this food resource.
While cities are cheaper due to your diminished Civics cost, you should be careful about where to place your National Assembly - unless of course, it was pre-placed. Because both of Malaysia's capitals must be captured in order to force you to capitulate, you can use the placement of your capitals on the map to wage psychological warfare: force your opponents to either split their forces up, or to concentrate on one site as a diversionary tactic. Attrition research is a must when playing in order to secure your capitals from the enemy and to slow him down, while bringing your fast-producing units to bear.
The only issue however is that your early game units are rather inferior to those of other factions — Malaysia suffers in that it is incapable of reaching the same levels of technological superiority as the four major factions: China, the USSR. the UK and the USA, whilst it is very vulnerable to rush tactics because of its lack of good infantry (in comparison to the other factions of Southeast Asia). It would thus seem that the best way forward might be to go for a mid-game boom. Use your cheaper Civics to outpace your opponents in urban growth and restrict their strategic movements, and then boom for a mid-game assault using your fast-producing units and tanks.
- Commando: Armed peasants [1-2] => Peasant guerillas
- Anti-armour: Solothurn S-18/100 
- SMG: Kpist m/45 
- Flamethrower (possible?)
- Tankette: Strv m/37 
- Light tanks:
Strv m/21-29# [1-2] => Strv m/41 (Panzer 38(t) => Strv L/60 [4-6]FV101 Scorpion
- Medium tanks: Strv m/42 
- Sav m/43 (appears to be a modification of Oslo Group m42 - see above)
- Schneider^ => Bofors 37 mm 
- Generic SPAD => SKP m/42 SPAD?
- Landsverk L-180 # => Pansarbil m/39 # => Humber Mk IV 
- Fighter aircraft: Biplane [1-2] =>Fokker D.XXI# [3-5] => FFVS 22 
- Bomber aircraft: Heinkel HE 111 [3?]#
- Attack aircraft: Bristol Blenheim  => SAAB 21 
- Supply truck? SKP m/42
- Start with 50% Bonus Food
- Second City built acts as a second Capital.
- Both receive Capital border bonus, and both must be
captured to eliminate you
- Receive Taxation upgrades for free
- Civic research 30% Cheaper
- Always have the maximum number of Caravans
- All metal ramp on unique units is reduced to 1.
- +33% research time