Buses and trains (and sometimes flights) are always cheaper if purchased from the Malaysian side. It takes just as long to just take a bus/MRT up to JB, cross over, and then buy a tix from there.

I've only gone as far as Northern Malaysia on the trains starting in Johor Bahru but I am pretty sure you can get a ticket to Thailand. If not then stop at the border and take another train up. It is worth to stop in Malaysia anyway.

The sleeper trains are surprisingly nice and I would recommend them.