you don't need any third party to do filing for you, unless you want professional help to work out the numbers. As for the procedural bits, you can do everything online via the LHDN website. I filed my tax right where i am sitting, first time i am doing it, and did everything online.

What you have to do it:
1. Use the E-Daftar on the website to register yourself. You will get a sort of confirmation code.
2. After you get the confirmation code, wait a few days, and check the confirmation page, to get your tax reference number.
3. Send you tax reference number, home address as registered and scanned front and back copies of your IC to pin@hasil.gov.my
4. They will then send you your e-filing pin number via email.
5. Do your e-filing with your ref. number and pin number.
6. Pay online using e-payment. (Paying online will be troublesome for new registrants because of their slow databse updates, you will have to wait until the month after you filed, to be able to pay. ie: i filed in march, and i could only pay starting yesterday. )