For Malaysian (and most other countries), you will be required to obtain a tourist visa-on-arrival before entering Oman.
As you enter the arrival hall (old airport), walk straight and you will see Travelex Foreign Exchange bureau counter for you to apply your visa. No forms are required. Just show your passport and mention how many days you will be in Oman. Thereafter, pay 5 OMR for a tourist visa valid for 10 days. As Travelex is a Foreign Exchange bureau, you can also change your currency here as well (at a lousy rate). Credit card payment for the visa is also accepted.
Update (Aug 2017)
The cost of a short-stay (30 days) tourist visa to visit Oman has quadrupled since April 2017, going up from 5 OMR to 20 OMR. You can apply for a tourist visa online prior to your departure. Refer here for more info regarding visas.
Update (Dec 2018)
Well, there is still much confusion about Oman’s visa. We’ve read in travel blogs as well as travel groups in FB that visa-on-arrival for Malaysian is still being practiced as mentioned in the 1st paragraph. And the cost of visa is still 5 OMR for 10 days. We’ve not been to Oman since our last visit, thus cannot confirm on this matter. Since March 2018, the new airport was commence operations and we don’t know if Travelex is still the issuing agent for VOA. Please do your own research.
A slip will then be given to you as proof of payment for your visa which you would present it together with your passport at the immigration desk. There is a copy for you to keep. Immigration will be to your right of the visa counters (old airport). There are no rush or queues at the Travelex counters or immigration as most passengers are on transit. There were only 13 passengers including me and my wife at the baggage claim carousel despite our flight being a long haul LHR – MCT flight.