I don't think you increase the chances that your bag makes it to KUL, I would through-check it and make sure that the MH gate agent knows that I have bags checked from an incoming flight and can check on the load list, that they indeed got them. That's what I did on a very similar layover in PRG between OK and LX last year. LX, in fact, did not load my bag until I boarded the plane to make sure I was indeed on this flight.