If you consider bluenile before, then you can consider the below alternatives (all of them sell Super Ideals), all of them ship to Malaysia. You will have to pay 6% GST.

Affiliate links:
WhiteFlash: https://www.whiteflash.com?a_aid=myengringexp (free delivery, AGS cert)
Brian Gavin: http://www.briangavindiamonds.com/?a_aid=myengexp (no free delivery, but the diamonds are top-notch, AGS cert)

Non-affiliate link:
High Performance Diamond: http://highperformancediamonds.com/ (free delivery, AGS cert)
Jann Paul: http://www.jannpaul.com/ (not sure, but I think no free delivery, GIA cert)

As for setting a diamond, if you don't mind standard settings, I checked with shops like Diamond & Platinum/DeGem before (they belong to the same company anyway). Both of them will do setting for loose diamond. You can only choose selected designs though because certain designs are tied to certain diamond brands they carry, such as Estrella or Forevermark. Poh Kong and Tomei also will set loose stone as well.

The downside is that they probably won't be responsible if anything happened to your diamond during the setting process and the prices can be vary.

My advice is that if you find out the size of the wearer's finger, and then make it correct the first time. Subsequent resizing of the ring may affect the appearance of the ring more or less.

It is also advisable that that you make some effort to travel down south to KL/SG (Jann Paul) and get things done right. It is not a small purchase and whoever that receives it may feel touched for your effort.

However, if you manage to find any jewelers in Penang that can do customized ring setting, then feel free to share with us here. I am sure some of us will benefit from the info you share. Not all people stay in KL.

Let me know if you need further help with choosing diamonds.

Thanks. 

Got links?