Was only able to find two places, in the parts Malaysia where we stayed, for things cigars. Odd bit of cultural learning was that "cigar" sounds exactly the same as the malay word "segar" which means fresh. Thus when a foreigner asks where to buy cigars they are met with the equivalent question of "fresh what". It wasn't til the second week in that I got past the language barrier to learn that the majority refer to all things cigars as "cheroots". LOL.
The first place I came across cigars for sale was at the duty free at KLIA. Where a box of 25 Cohiba Behike sold for the equivalent of $1000 USD. Uh, nope!
The second place was a odd little Cuban Museum in the middle of the historic district of Melaka where in addition to selling a small variety of Cuban cigars (Cohiba, Hoyo, Monte) they also allowed patrons to roll 1 cigar of their own, for a price. It was a horrible example of a hand roll but it smoked amazingly.