Hello epriann,
I am a foreigner too so maybe I can at least answer some of your questions:
- I heard, here we must get what so called a release letter before we can join another company, else we will have to return to home country for 6 months, is it correct ?
Yes, you need to get a release letter from your current company.
Then you can pass it to the agent of the new company that will handle your case
With this the agent will cancel your current visa (since it's associated to your current company) and issue the new working visa with the new company.
If I remember correctly the exact cooling period between the 2 visas is 2 weeks, but meanwhile you can stay in Malaysia (you will be issued a normal touristic visa for this).
I do not remember me having to leave the country by doing it this way.
- how about the immigration thingy, as im going to be converted to another company, is my family, my wife and kids also need to convert they pass ?, as it still got 1 year + validity
I was single at the time I jumped ship so I am not totally certain, but what kind of visa do they have?
If it's a touristic visa and in no way associated with your current company, I believe they should not have to change anything.
You might want to ask the visa agent of the new company about this.
- in my contract stated, notice period 2 months, if I do not follow that I will get penalty 2x salary, so if I follow the contract, there shouldn’t be any issue is it ?
If you follow the contract and give the 2 months notice, you should not have anything special to do if your contract does not mention about it.
- how if after I follow all the process but still my company giving me hard time to get the release letter, is there anything I can do to push them ?
Well, after this it comes to soft skill and negotiation with your current company.
Just try to make the transition as smooth as possible with your current company and be straightforward with them.
Explain about the new offer and why you would go with it (who knows, they might even make you a counter-offer

)
Officially they have to give you this release letter anyway I believe, they might just make it troublesome if they are not happy which is why I just suggest to try to make it as smoothly as possible
Personally my boss wasnt exactly so happy about it but I managed to make it smooth enough he didnt give me any issue.