I want to buy a World Band (Short Wave) Radio in SE Asia and would like to know best places to buy them. I will be covering Malaysia-Thailand-Cambodia-Vietnam-Laos.

Interesting assumption that buying in Southeast Asia is going to be cheaper and present a better selection than buying in the UK. But taking your question at face value, you want to strike a balance between a country where the cost of living is low and the exchange rate works in your favour, and a level of development that allows you to have a decent choice of products. Malaysia is the obvious place - you'll get English-speaking sales staff (though they're not likely to be knowledgable in this area) and a wide range of Japanese brands, plus the ringgit is weakish against the pound (it just might even be devalued a second time). But you'll find it hard to get decent UK brands like Roberts in Southeast Asia, and only the top-range radios will have a longwave band (since LW isn't used outside high latitudes). You've also got to remember that radios are made by multinationals and pricing doesn't vary that much - I think where you will save is on tax, since the UK's VAT is pretty high by international standards. So good luck - but don't think you won't pick up at bargain at home in the sales or online or from the ads in the specialist magazines.