Originally Posted by midlevels

The bag will be tagged to HKG, yes, but you do need to pick it up.

Coming in from US, you need to pick up your bags at the belt in YYZ after clearing immigration, and then you need to drop them off again at the transfer belt before exiting out into the terminal arrivals hall.

If for some reason you carry it out to the terminal, it's no big deal. Just take it back upstairs to the CX checkin and they'll take it off your hands there, and attach an F priority tag for you.

But, if you're arriving early before CX checkin desks open, then definitely pass it off to the transfer belt before exiting arrivals.