It's a matter of personal preference, but my experience has been no inordinate waiting time for baggage at HKG. YMMV, of course, due to the particular situation.

I think I'd be inclined to relax and enjoy the trip rather than hassle a large bag through security and plane aisles, particularly if there's nothing in there you'll need for the flight. As a matter of practice, I always carry a change of clothes (slacks, shirt, underwear and sox) in my carry-on "just in case" my checked luggage doesn't arrive with me, but with no connections the chances of that happening to you are diminished.