I had a 6-week (!) business trip to Hong Kong, and didn't enjoy the gay scene one bit. Propoganda has an outlandish entrance fee (something like US$20-30) and seemed more like a place where locals go to hook up with ex-pats and vice versa. It just didn't seem that friendly to me. Maybe things have changed in the last year or so, but that was my experience.

For gyms, I actually went to Fitness First which is just down from Lan Kwai Fong. Great equipment, helpful staff and good sauna/spa/locker room facilities.