I have been to KL about 10 times. As a Gay white American male, I've always been treated VERY well. In fact, I feel more comfortable in KL than I do walking the streets of any big U.S. city at night. Really.
As for gay venues, the dance clubs are all legal-- and the gay saunas (I can recommend Otot2, kind of near the Pan Pacific).
As for hotels, you can bring someone back to the room. I've stayed at several places in KL--the Pan Pacific ($60), the Melia (newly remodeled, $59), the Capitol (a very clean, modern 3-star right in the middle of the action for $32), the Century ($45), the Sheraton Imperial (fancy and about $65), and the only one I wouldn't recommend is the Pan Pacific, but only because the location isn't that great. If you're on a budget, I highly recommend the Capitol, because there is a Delifrance around the corner, it's a block from shopping, the eating street is 2 blocks away (delicious outdoor stalls that are licensed by the gov't --clean, safe, and cheap), and there are gay boys everywhere. Actually, if you bring your laptop, you're bound to meet guys using gay.com.
Enjoy KL--I sure do!