I think you should. Your wife should come and register for the Buku Merah, and then would proceed to do checkups straightaway.
The pregnancy should be at least 8-10 weeks if not mistaken, if not they would ask you to come later.

Yes, it's necessary to go to the KK nearest to you. They can reject you if you are not from somewhere near.
The reason is that they want to keep track of health of ppl nearest to the area.

You should always call before you went to the KK, to make sure you are going to the right KK, and also different KK have different procedures.
Some would ask for bill, some need husband to come for the first checkup (test for HIV). Depends on the area.
Some even has designated days, for example if you live in area X, you come on Wednesdays, if Y, come on Thursdays and so on.

If you live in Cyberjaya, chances are you're going to have to go to Dengkil KK, as Cyber doesnt have KK at the moment.

Hope this helps!