I would not buy expensive jade in Hong Kong without some very knowledgeable help. I've done with once with an elderly Cantonese woman who was a friend of my mother-in-law. She knew her jade, knew the stores, and knew the people. All of that is important.

On the other hand, getting something that isn't expensive is easy to do at the jade market in Mong Kok. You'll have fun and can't get ripped off if you stick to a sensible (LOW) budget.