I believed most popular and well known shop among the local crafters is H&W. Located at the 2nd floor of Plaza Ampang Park. You can never missed it if you take an escalator to the 2nd floor -- the shop is just opposite the escalator. At H&W you can find a greater selection of DMC thread and tools. Haby also do framing services if you want to frame your cross stitch works. You can enroll for a tatting and stumpwork class with a reasonable lesson fee (material is not included).
They also sell cross stitch charts and books, tatting thread, silk ribbon, chrochet threads, american cotton (very limited selection) and fabric for cross stitch.
Haby & wool can be contacted at : 03-2161 5346 (Jenny/Jennifer)
Happy stitching and stashing!