Thompson, 18, moved into chief contention with an impressive back-nine performance on Friday to sit one shot behind South Korean Lee Il-hee at the halfway stage.
And a five-under, bogey-free 66 on Saturday left Thompson three shots clear of Lee, whose two bogeys sullied her three birdies for a third round card of 70.
The two ladies are the heavy favourites heading into Sunday’s final round, with Norwegian Suzann Pettersen and China’s Shanshan Feng each three shots behind Lee – and six off the lead – in joint third.
Thompson is now extremely confident of securing her second career tour title in Kuala Lumpur – her first in two years, following a 2011 Navistar LPGA Classic victory.
"I felt really well going into today, I had a good practice session before my round, so I was pretty confident," she said. "Every player wants to go into the final round with a lead."
Sweden's Anna Nordqvist hit the best round of the day – her 65 propelled her from joint 29th to a tie for fifth alongside Karine Icher of France.