Malan struck 118 not out and put on an eighth-wicket stand of 77 with Toby Roland-Jones at Lord's as the hosts closed on 326-8 - a lead of 260.
Middlesex, who resumed on 47-0, lost three quick wickets after Sam Robson nicked Ashar Zaidi behind for 77.
Malan and Roland-Jones (36) batted for most of the evening session before Roland-Jones was out to the final ball.
Malan's 201-ball knock, his second Championship century of 2015, took his average for the summer to 104.40.
However, Roland-Jones' hour and a half at the crease could prove to be just as vital as he helped turn what looked like being a modest lead into a big one for Middlesex.
Ollie Robinson (3-86) gave Sussex a late boost by removing him lbw with what proved to be the last delivery of the day, but the visitors look set to face a target of around 300.
Dawid Malan's fine century for Middlesex left Sussex facing the prospect of a tricky final day chase.