Hong Kong's main red light district, or historical red light district is Wan Chai, on Hong Kong Island. It was here that Suzy Wong was set and where American sailors on shore leave pile into. Known as girlie bars, nowadays Wan Chai has far less of these neon establishments, but the area has enough to maintain an unhealthy reputation.
Prostitution is legal in Hong Kong, however nearly everything related to it is not. So soliciting sex, living from 'immoral earnings' and advertising sex (although this looks likely to change)are illegal.
Running a brothel is also illegal, so by entering any of the establishments in Wan Chai, while the activity you intend you engage in may be legal, technically you are breaking the law. In reality the brothels in Wan Chai are largely tolerated, with the police only getting involved when drugs are in the picture.
Hong Kong's attitude to prostitution is that as long as it's done behind closed doors, it can carry on unimpeded. However, it's important to note that Hong Kong Triads are heavily involved in prostitution in the city, and any money you hand over is probably helping line their pockets.