Why doen't my KTM 125SX doesn't idle well?

It doesn't idle well because it isn't meant to idle, it's a race-ready bike. The KTM 125 SX is made with many aftermarket parts and they are very high quality machines. The mechanic at the dealership was just telling me today (just picked up my own 125 SX yesterday!) that it's something to do with the air/fuel ratio, and he told me that they could adjust it for me to idle, but the bike is not meant to idle and doing so could result in long-term damage over time. But if you're ok with that, then just go ahead & adjust the carburetor, it's simple. Locate the carburetor screw (check online or in your owners' manual for it's location), and while the bike is running, adjust it about 1/4 turn in the direction that would increase the flow of fuel through the carburetor (again don't ask me, it's either clockwise or counter-clockwise) and continue to let it run. Give it some gas, let it come down, you should be able to tell if it's going to stall, in which case you give it some more gas, keep it running and make adjustments accordingly to find the idle level. Enjoy!