It's more normal to wear full length light cotton pjamas, and the next most popular is a full length light cotton nighty.
Keeping covered is the idea, but in a western style hotel with air conditioning there won't be many insect problems.
All clothing in hot countries should be cotton or best quality pure silk (not Thai silk),at least next to the skin.
A cotton sheet is normally the only bed cover required unless you have an air conditioned room, when you will likely have a cotton quilt as well.
Synthetics cause a lot of problems, even those advertised as being made for topical climates.
Especially, for the ladies, the big uncomfortable problem is thrush, which can get extremely itchy to the point of driving you mad. It really is a horrible, bad, nightmare of a thing in hot climates.
I was a medic in Singapore and on field expeditions in Malaysia ( Malaria surveys,etc) for years, and in other hot countries in Africa and the Middle East.
Some of the girls were in fits with it and would come into the medical centres in tears.
Absolutely crazed out with it. It is extremely itchy. Screaming habdabs stuff.
For quick but temporary relief flushing with cool water washes away the acids that burn the nerve endings and gives you a rest from the agony for a while.
Canestan is the usual treatment and is available from pharmacies there, or take some with you in check-in baggage.
Tea tree oil is a useful natural remedy, but doesn't work with everyone.
More on the second link below.
Wearing only light cotton or pure silk of the best quality next to the skin is the best way to avoid thrush and other problems.
On the second link below there is advice for living in hot humid climates..
Intended for Madagascar but Malaysia is almost identical in climate on the low ground , being very warm and humid, and all the techniques given are used in both countries.
Much of it is for outdoor things for a field survey team but you will get the picture of how hot humid living works. Mould on laundry for example is just the same in Malaysia and Africa if the washing is caught in heavy rain, so the same tips apply.
We have sometimes scowled on shopping visits to town in the mornings, remembering the washing is out at home along the coast, when an unexpected cloudburst has put an inch of water on the road in seconds.
There is often heavy rain in the late aftenoons in monsoon season, and throughout the year in Singapore and southern Malaysia, so it is not a good time to have washing outside.
Mornings are mostly safe, but the unexpected can happen.
You can get mosquito coils from stores in any town or village in Malaysia, and all over Asia and Africa, very cheaply,and also in Australia and many other countries.
Light one end and the coil smoulders for hours. Some are scented or you can buy small bottles of scent to use with them. A few drops along the coil soak in easily.
A very useful and fairly cheap perfume for rooms and yourself is citronella, which is quite good as an insect repellent.
Two or three coils around you if you are sitting outside in the evenings is a common way of keeping mossies and other insects away, but long sleeves and slacks are still advisable after dusk when most insects are hunting. A popular brand of coil is 'Elephant', and the coils are generally called elephant coils in Malaysia whatever brand you buy, in the same way that vacuum cleaners are Hoovers even when they are Dysons or Electrolux.
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Malaria advice on here, (top answer) with mosquito coils and nets, and dress code tips for evenings under the links half way down.
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ex medic, tropical postings. Frequent traveller Asia,Africa etc.