How old are you or more to the point, can you walk up and down quite a fair few flights of stairs without breaking too much of a sweat? If so and you like the variety or random surprise of Soho, then try the walkups in either Tsim Sha Tsui or Causeway Bay.
Use the website sex141, great database full of girls, but be mindful of the excessive amounts of Photoshop that the agents use, especially for the hotel girls where you call the agent and arrange to meet the girl at the hotel she's working at. Word of warning if you're a boob man, they do bra sizes slightly differently there so those F cups are going to look more like mere C cups in person.
Never done an incall before so can't say for certain but most HK hotels don't really give a shit so long as you're not drawing any attention.
The walkup girls are cheaper then the hotel girls but at least you can see the heavily photoshopped photos of the hotel girls and judge whether she's worth the price.
There's also a couple of massage places like K pressure near Jordon which does the nuru soapy variety massage. Very good value for money if budget is important.
Wanchai next to Causeway Bay has the bars where madams sit outside roping punters in. Really depressing places to go to during the week but quite lively during weekends, rip off drinks but then alcohol in HK is expensive anyway.
There are also freelancers working in clubs but can't remember which ones. These girls tend to be the maids making extra cash on the weekends.
Hong Kong is a really small city and your choice of where to stay will mainly be down to either Kowloon side or Island side. Girls tend to be cheaper on Kowloon side, especially as the mainland Chinese girls tend to be based there.
The island side does have local girls but also caters to the expat crowd more so you'll find some high end western call girls on tour over there. Some pornstars such as Candy Alexa and Jasmine Black have done tours over there and usually are based in Causeway bay area.
All depends on what you are after really. If you've got a case of yellow fever that needs scratching then be aware that some of the mainland Chinese girls won't see a westerner.