I've done this a few times - last time was a year ago.

CDG - HKG return is (or was) so much cheaper than LHR - HKG. Cathay will check bags through and you don't need to go through immigration unless you walk the wrong way, which we have done! CDG can be confusing.

BA don't check through, so on the way *to* HKG from LHR via CDG you'll need to collect and re-check luggage.