You can go to the Chinese consulate direct to get it done in Wan Chai on HK Island (Address/Office hours/Enquiry service
). This, in my understanding, takes a while as there's often a queue and you have to wait for a long time- and when you get to a counter maybe there's something wrong with your docs and you have to start again!
On the other hand (this is what I've done a couple of times), you can go to an agent, who will do everything for you, but at a price. I think overall, with next day turnover (due to my FAO at the time messing things up!) it was around 1800HK$ which was a lot but paid for by my school. It was across the road from Chungking Mansions and fairly easy to find (small doorway, clearly marked).
I'm a Brit, but I don't think there will be much difference in the procedure.