Just to put it slightly differently - you and the company need to prove two things:
You need to prove that you are a skilled and qualified professional - i.e. not a burger-flipper, possibly/probably not a new grad, and ideally in a field for which there's demand in HK. Given that unemployment in Hong Kong is apparently at a 5-year low, I think most fields probably count as having demand at the moment...
The company needs to prove that they need to hire you, rather than an equivalently-skilled/experienced/qualified local. In essence this comes down to proving that they've tried to hire somebody locally and failed, therefore showing that they need to hire from abroad - in theory, at least, this goes to the level of showing copies of published recruitment ads and some sort of history of locals who've been considered and why they were unsuitable. I don't know how formal that sort of thing actually is...
As Jimbo said - the way it works is to find a job, then the company applies for a visa as your sponsor - it does mean a delay starting (assuming your company wants to do everything above board) and it does add an overhead for the company. I think the overhead is meant to be there, partly as an incentive to hire local staff. Also worth noting that it is not a visa to work in Hong Kong - it's a visa to work at a specific job - if you change jobs, you need a new visa.
Good luck