In terms of end-game, the best way to scale your damage is to take advantage of Weapon Damage % effects that scale with Elemental Damage %. The 2 primary ways of doing this in the game right now are either A) Pets or B ) Item Procs.
Essentially, it's pretty easy to get multipliers from several different parts of your gear (Ammy, Rings, Gloves, etc.), but it's actually pretty tough to increase the base damage you deal in the first place (Ability Damage, Pets, Item Procs) that will get multiplied out by all those other stats.
I used to be really attached to my WKL because it rolled so well and I couldn't imagine how it could not be an amazing weapon, but after playing a ton and testing out the other weapons, I can safely say that WKL is honestly not that great compared to other weapons that have proc effects.
In my experience:
Shard of Hate > Odyn Son > Won Khim Lau
Of course, this is all dependent on the rolls, but to be completely honest with you even my trash-tier Odyn Son (regret salvaging my Odyn Son's before they patched the proc) still outperforms my high-tier WKL by quite a bit.
I'd really like to test out the Skysplitter proc to see how it performs (suck that mine only rolled the lowest 10% proc chance possible) and if I ever get a Thunderfury, I'd like to see how it compares as well.
@Brown: All in all, I'd definitely recommend using your Odyn Son (reroll Vit into Socket) over any WKL.
@SiNz: Your Fulminator roll is pretty beastly, but honestly my personal experiences with the item itself are pretty poor. The proc does not affect the main target at all so it does absolutely nothing for your primary target or in any single target situation. Despite that, I'd still probably use your Fulminator and pair it up with your Odyn Son.
TL;DR Won Khim Lau looks awesome, but honestly it doesn't compare to the other end-game weapons because Weapon Procs that scale are OP.