Most all of the clubs in KL are "tourist" friendly. I'd check out

http://www.utopia-asia.com/tipsmala.htm

for some tips on gay Malaysia, in addition to the link mentioned above.

Also wanted to mention that although it's my favorite hotel in KL, I wouldn't recommend the Sheraton Imperial for a short stay, as it's not really in walking distance of very much. (A new monorail recently opened up right out side the hotel, which helps, and the Dang Wangi LRT [subway] stop is nearby.) That being said, taxis are really cheap, so it's just more of an inconvenience. For a one-day stay, I'd personally chose the Mandarin or the new Westin.