You will have to request for a transfer from immigration. You will need to submit some form of evidence to indicate your current place of residence ( e.g. water or electric bill). Do not close your file until the Immigration office you want to transfer to has approved all the documents.
D-3-33, Block D, 8 Avenue Business Centre, Jalan Sungai Jernih 8/1, Seksyen 8 Petaling Jaya, 46050 Petaling Jaya, Selangor, Malaysia