Wanchi is on the Island and is where most of the sex/nightlife occurs. JRCs advice on Neptune sounds good. Most of the bars there were mobbed with Thais and there were lots of mama sams (spellcheck?)
On Kowloon side (the mainland) there is a long straight road called Nathan Road basically running North to South there were a few hostess bars on there Addams apple being one, seemed to pick up after 11pm, a fair few South American WGs. They had to pay a sort of bar fine so it would be worth your while doing a deal and meeting her after she finished in the bar.
Mong Kok was ok, used to have a lot of markets. There is a tube station there, they call it MTR mass transit railway, really clean, punctual and built in the UK!! Its great for getting about on. If you get a taxi through the tunnel to the island the robbin gits want extra so that he can pay the toll to get back if he doesnt have a fare. Because of the heat most people are not dressed up for a night on the town, dress shorts, polo shirt and flip flops are acceptable. Lots of blaggers on the street trying to take you to a tower block and sell you a copy rolex. If you wear a daysack, keep in on the front as they have a habbit of slashing the bottom and stealing the contents. Great place to get hand made suits, shirts and shoes if you have time, agree to introduce a mate and get an extra shirt for free. I dont think you have anything to worry about in terms of Mong Kok being seedy, its just not one of the glam touristy areas or expensive areas where the expats stay.
I presume there will be escorts to call, i.e advertised in the press or on the web. Same goes for saunas/parlours, I went once but got a proper thai massage, no extras.