In comments translated by the Malaysia Star, the 28-year-old added: "I hope everyone will pray that I will be steadfast and committed in my new journey.
Former Playboy bunny Felixia Yeap has embraced Islam
"Only Allah can repay all those who prayed for my new life."
Yeap's modelling career took off two years ago after a stint at the Playboy Club Sands in Macau. She had previously worked as a kindergarten teacher.
The 28-year-old announced her conversion on Facebook
The Rakyat Post translates a blog by Yeap in which she talks about her conversion. She wrote:
"I went to Catholic Church every Sunday evening for two years. I've tried to understand Christianity.
"I've tried to find new meaning in worshipping Kuan Yin and others. I also tried to adopt Buddhist practices.
"But my heart never felt close to God. My heart never felt touched.
"Today is a historic date for me. It's like a rebirth.
"Incidentally, this year, my birthday falls on the 5th of Ramadan.
"I'm more excited to know that this date falls on a Thursday, the Prophet Muhammad's favourite day."
Yeap began wearing the hijab ahead of her conversion