Anybody know whether we have to inform income tax department before we go and work or study overseas ? What I mean is after paying income tax for few years locally , then decide to move overseas.

Do we still have to report income tax annually ?

i don think so...
as long as u do not work in m'sia u do not have to pay tax...thus no need to inform them

This is from my personal experience. I informed LHDN before leaving(for Australia) to work. Filled up a form and I did not receive any letters(the blue ones they send to your home every year) requesting me to pay taxes.I believe not having to pay taxes if you work in a foreign country only works if both the countries have some form of mutual agreement. Australia and Malaysia do. I paid taxes down under but brought the documents back with me when I returned. Best that yer cover your arse when it comes to things like this. Pay the good folks at LHDN a visit wouldn't hurt. Good luck and by the way where are you heading to?

So they will stop sending me the income tax form for me to fill up if I inform them ?

As long as if you do not work in Malaysia, you do not need to declare your income. I have a friend working in Singapore but he need to declare it because he has house which is rented out in Malaysia. So, the only income you need to declare is the rental income. So for your case, i don't think you need to declare.