Alcohol is heavily taxed in Kuala Lumpur and therefore, more expensive than back home. If you are planning a party and need to get some reasonable priced booze then head for the Malaysian Island of Langkawi where alcohol is sold tax free and have your party there. (About 1 hour's flight with Air Asia). You can bring back alcohol from Langkawi but you are of course limited.
If a trip to Langkawi is out of the question then have a look at the attached spreadsheet comparing alcohol prices in several KL supermarkets.
Alcohol Prices in Ringit