Must I get a Fiance Visa then Spousal Visa, or can I skip Fiance Visa?

Hello!

My fiance and I are planning to get a visa for me to move over to the UK. He's British.
Since it's cheaper to get a spousal visa, we're considering getting married in M'sia (my home country), then getting a spousal visa for the UK.
Is that ok? Do we have to had stayed together for a while as husband and wife before we apply for a spousal visa? Or can we just go for it?
Is it better to get a fiance visa instead?

Thank you!

You can get a spousal visa only if you are married.
A fiancée visa is to allow you to visit England with the purpose of marriage.