This was my experience flying MH from HKG to KUL then connecting to PEN. Had no check in luggage. Got all the boarding passes at MH counter in HKG. Once I got to KUL, took the train like everybody else back to central terminal. Instead of going down escalator to immigration, I followed the sign to domestic connections, which is really the staircase leading down to gates in Concourse A , next to the elevator. Once you are down there, there is a small entry immigration counter with no queue. Went through that and at the boarding gate for PEN 5 minutes later.

On the way back from PEN, landed at a gate in Concourse A. Followed sign to international connections, and went through exit immigration next to where I went through entry immigration, walked upstairs, and into departure level of main terminal building.

What I am not sure of is if you have check in luggage, whether you need to pick up your luggage in KUL to go through customs on the way from HKG to PEN, or whether the luggage appears only in PEN. Even if you don't have the KUL-PEN boarding pass you can pick it up at the MH service desk in the central terminal building.

Hope this helps.