You can. But i think my Wii Faq would've showed you the cons of the modifying.

locked to what region?...i brought one home from australia and no problem pun..

where did you buy the original games from?  if the Wii games are for Australia/UK (PAL region) ... of course you don't a problem playing it.

well, i am assuming the machine itself u bought is for AUS/PAL region.  you could have bought a US Wii machine in Australia too... and those plays US region games (which is the more common region of original Wii games used/sold locally)

another possibility is .... the machine has been ... (please refer to Kyo's FAQ on modding)

yes, you can setup the AUS/PAL Wii in KL. 

if the AC/power adapter that came with your Wii has a AUS plug type then you need a socket adapter/converter to plug it into the standard M'sia electrical outlet. 

AUS plug type => http://users.telenet.be/worldstandards/ele...ity.htm#plugs_i
M'sia standard type => http://users.telenet.be/worldstandards/ele...ity.htm#plugs_g

also double check your AUS Wii power adapter input voltage ... i think it should be around 220-240V range which is what is compatible with M'sia.
you got the games portion absolutely right ... only AUS/PAL Wii games can be played on AUS Wii hardware (another example of PAL region is the UK).  that means your AUS Wii can play games designated for UK too.

usual original Wii games sold in M'sia are US region so can only be played on US Wii hardware. 

the main problem is,  there is more pirated/copy Wii games for sale here and people play them on modified Wii machines ... so to these people it's NEVER been a 'limitation'  ....
 
*extra info*  -  the official Wii hardware for sale/distribution in SG/MY plays US region games only ... bcos the hardware is same as US model.  they only repackaged it with a different serial number range and provided a locally compatible power adapter.