Sure, if you are not a member of any oneworld program, then try to get the M&M miles from your CX flights.
SEN status means nothing on CX and you won't get status miles either.
I would recommend not putting any FFP in the booking at first, and then when you get to HKG ask the lounge agent (if you are in business/first) or gate agent (if you don't have lounge access) to add your M&M number.
If you want to join Asia Miles, do so later and then do a retro-claim for the London to Hong Kong flights after the M&M miles have credited.
If you live in London/Europe you may wish to join BAEC and credit to that program instead. If you are in business/first class on the CX flights, you would get enough miles for a short-haul flight or several on BA; and perhaps if you do the calculations it may turn out to be more worthwhile to credit the whole ticket to BA.