ndroo,
Here are the procedures:
1. Register your baby at the hospital where your baby will be delivered/go to ICA for the Singaporean Birth Certificate. (there will be a note on the B/C stating that your baby is not a citizen of Singapore)
2. Go to Malaysian High Commission (Consular Section) to apply for the Malaysian B/C. Borang W will be issued about 2 weeks after the submission of the form and related documents. (your baby must be present) Don't worry about the queue, the queue are for those who are going to the Immigration Section of the Malaysian High Comm. You can reach there comfortable at about 8.30 am and all will be done by 11 am if you are lucky.
3. Once Borang W is obtained, apply for the Malaysian Passport at the Immigration Section.
4. Once the Malaysian P/P is obtained, go to ICA with the P/P to apply for the Singapore PR.