Do's for Malaysia

Dress modestly. See entry for Zambia below. You have to define modest culture by culture.
Use the thumb or whole hand to indicate something (wave down a taxi).
To indicate something? Like it's A-Ok, I approve, or to point out an item on a menu, as well as flag down a taxi? We really need more specificity here.
Learn to distinguish between Western handshake and Malay salams (a simple palm-to-palm touch).
Bargain when shopping. See Zambia entry.
Be extra careful about punctuality, as it is highly valued.
Use indirect eye contact. Grammars of gaze are very complex. Ask your informant to demonstrate this for you. Try a little role play or see if they can show you some Malay film or TV that demonstrates this norm. And/or show them a clip of American film etc. and ask them to critique the gaze behavior according to Malay standards.

Hold your hands close to your sides in crowded areas. As opposed to what? We need some visual assistance here.
Make excuses instead of direct refusal. Ok. What kinds of excuses are acceptable and how should they be made? We need to know about paralinguistics and extralinguistics here. Facial expressions? Is there an authenticity test?
Keep criticism private. We need to know what is considered criticism. This is very relative, even in our own culture. Try to get some anecdotes or demonstrations to help us understand this better. I'm sure a whole book could be written about norms for criticizing in Malaysia (as in any culture).