Hey first off, welcome to Malaysia and we hope you will enjoy your stay!
You can try asking directions to go to Lowyat Plaza, it's within the vicinity of Bukit Bintang. There is a music store in there on the first floor called Tong Lee Co. They have speakers, headphones, headphone amps, turntables, etc. But it's a small shop.
Cross the street to another shopping mall called Times Square and there will be a Radioshack store on the ground floor (
don't know how it relates to headphones/amps but since you're a head-fier then you probably would love that place).
There's not much music stores around here, and the few are mostly for home entertainment, not headphones and headamps.