Do you have recent info? What sort of prices do you pay from Lan Kwai Fong? (My main hunting ground tended to be the Temple Street Night Market, as I felt that was a lot cheaper and more fun than foraging on the Island proper. Similarly I'd use the yellow sign brothels around Mong Kok that offered quite an affordable but good quality of service. Is it worth travelling to Macau to get a better deal than those?
I've always stayed island-side; Kowloon always seemed too touristy for me.
I was last there about five years ago. I think at the time it was about 3600 HKD for the night back at the hotel for a freelancer out of LKF, but that was based on the bar take-out rate, and you negotiated down from that. The girls available in LKF might be out on a day out from the girlie bars or the occasional office worker, but they tended to have that little extra going for them. There was also the occasional oddity, like the cigar smoking chicks (from Korea or Mongolia, not sure).
I avoided the Filipinos - personal preferences - and went for the Thai or Viet; there used to be Indonesians as well but I think they were pushed out by the Filipinos.
More recently, girls were available incall (and some outcall) from the *8* websites - see ISG for details.
I only once use a soapy in HK, and that was in Castle Point (Royal Crown?) I think. It was not worth the visit.
Macau is definitely worth the effort; its where most Kongers go. As well as the soapies, there are pickups in the hotel bars, cafes, and on the streets. One local told me that you only ever went to Macau for the food, gambling, and/or sex (he added the triad shoot-outs to the list which were still common at the time). The 'circus' in the basement of the Lisboa is something to see.
Check ISG for the most current info an status.