Batu Caves is located in Gombak district, which is accessible through Jalan Kuching and Middle Ring Highway. The easiest way to get to Batu Caves is to take the KTM commuter train from KL Sentral station to the Sentul Station.
Otherwise you can catch a bus from downtown KL, click here for more info on buses to Batu Caves.
* During Thaipusam, there are many public buses that take you there from Puduraya and Kotaraya. Just look out for signs indicating Batucaves. The LRT and KTM also operates till late to accommodate passengers.