Malaysia says it will issue an arrest warrant for a North Korean diplomat wanted for questioning over the murder of Kim Jong Nam if he doesn't voluntarily co-operate with the police.

Earlier this week, Malaysia said 44-year-old Hyon Kwang Song, a second secretary at the North Korean embassy in Kuala Lumpur, was wanted for questioning over the death of the estranged half brother of North Korean leader Kim Jong Un.

"Reasonable" time will be given for the diplomat to come forward before police take further action, said Abdul Samah Mat, the police chief for Selangor state, on Saturday.

Samah said if the person concerned did not co-operate police would issue a notice under Malaysian law, "compelling" them to appear before the investigation team.

"And if he failed to turn up upon given this notice, then we will go to the next step by getting a warrant of arrest from the court," he told reporters.

It was unclear if the embassy official can be detained since police have said he has diplomatic immunity.

Eight North Koreans are wanted in connection with the case, including the diplomat. One has been detained by the Malaysian police, four are believed to have fled to North Korea, while two are still in Malaysia.

Police are trying to locate the eight suspect, another North Korean, Ri Ji U, whose whereabouts are unknown, Samah said on Saturday.

Kim Jong Nam was murdered on February 13 at the Kuala Lumpur international airport with VX nerve agent, a chemical classified by the United Nations as a weapon of mass destruction, Malaysian police said on Friday.

Two women - one Indonesian and one Vietnamese - have also been detained. Police had said on Friday one of them had suffered from the effects of VX and had been vomiting.

Indonesian embassy officials met with their national Siti Aishah on Saturday and said she had been paid 400 Malaysian ringgit ($A117) to participate in what she believed was a prank.

"She only said in general that somebody asked her to do this activity ... She said she was given a kind of oil, like baby oil," Indonesian deputy ambassador Andreano Erwin told reporters after meeting Aishah, adding that no charges have been brought against her yet.

Footage released earlier this week by Japanese broadcaster Fuji TV appears to show two women lunge at the victim as he prepared to board a flight to the Chinese territory of Macau.