We study the intrinsic anisotropy of the superconducting state in KFe$_2$As$_2$, using small-angle neutron scattering to image the vortex lattice as the applied magnetic field is rotated towards the FeAs crystalline planes. The anisotropy is found to be strongly field dependent, indicating multiband superconductivity. Furthermore, the high field anisotropy significantly exceeds that of the upper critical field, providing further support for Pauli limiting in KFe$_2$As$_2$ for field applied in the basal plane. The effect of Pauli paramagnetism on the unpaired quasiparticles in the vortex cores is directly evident from the ratio of scattered intensities due to the longitudinal and transverse vortex lattice field modulation.
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