Sheung Shui is the first stop on the MTR after the border, and outside the station on the street there's usually a gaggle of vendors selling various flavours of SIM cards. I don't vouch for what they're selling, just telling you they're usually there. If you're coming from the Mainland, this will be the street exit on the opposite side of the tracks.

(If you've got Skype or the equivalent, it's pretty easy to find free WIFI in HK for making just a few calls. Of course if you're expecting a call-back that's not too convenient.)