Locally, there are a handful of rock climbing clubs that actively promote the sport under the auspices of the Sport Climbing Union of Hong Kong. Of particular note, is "Climb 4 Fun" (affectionately known as C4F), by far the largest, most active and prominent group, promotes rock climbing with a strong social / networking twist. Formed as a not-for-profit venture, C4F uses its considerable numbers and financial resources to actively fund local expeditions and to develop new sites. C4F is a warm and very friendly group, so if you are in town, and you need to meet climbers, they are a great resource. 

Artificial sport climbing walls in Hong Kong are largely government built and maintained. There are currently five artificial walls (both in and outdoors) from 7 meters at East Kai Tak, to the tallest one at Shek Kip Mei Sports Complex, standing at 15 meters with 8 lanes. Outdoor walls are free of charge, but you must present local Lead Climb certification plus bring your own equipment. Air-conditioned indoor climbing facilities also require local certificates, are still cheap at HK$45-85 per hour, with all equipment provided and the entire venue for your use. For visiting foreign climbers, these walls are not accessible sans local certification, however your best bet would be to get in touch with local climbing clubs, and just tag along with aforementioned climbing clubs like C4F. The tallest wall in the territory is an 18 meter high private wall at King's Park, owned and operated by YMCA. A simple assessment of climbing ability and proficiency with the Gri-Gri, plus a HK$100 fee will allow you to climb all day at this mega wall. Call ahead to make an appointment to do the assessment.