Visa submission has to be done in the morning from 9 a.m for a collection in the afternoon at 4. pm
You need to fill the form, provide 2 pics (the same), a copy of your passport a return/onward ticket if you are applying for a tourist visit visa or a letter of sponsor/ktp of the sponsor if you apply for a Visit SosBud visa. Cost is 170 ringgit for both of these visas. KL embassy is located at 233, Jalan Tun Rasak which is almost at the corner of Jalan Bukit Bintang. Easy to find.
http://www.kbrikualalumpur.org/ is the website you should browse for further informations
1 day issuing visa is still the rule and staff is polite, informative and efficient. A rare thing in KBRIs around the world.
There is quite a few things to do around the embassy to waste your time and money (just head for the bukit bintang area) while you are waiting for the visa.
I wish you a nice and pleasant trip in KL :)