I have just moved into a housing area around Kuala Lumpur, where the soil is mostly composed of clay & rocks. If I plan to grow grass, do I have to change the soil and how do I get the best suitable soil.

If there are lots of clay & rocks, then you should replace the soil because water will not penetrate. The removed soil will be replaced with 3 inches of Topsoil, and 1 inch of sand. Topsoil can be purchased at Four Seasons Turf Farm while sand is available in any hardware store.