Haha, yeah, it was a bit scary for me as well and a number of people said to me how ballsy a thing it was to do, but it was the right approach.
Ok, so I did a good month of researching, emailing and calling before I actually visited. I had a phone interview with the company that wound up hiring me while I was still in Australia and I met their HK-based managers once I got there. I had a few offers, within 3 days (I am told by friends already working there that that is very fast, but that I had done the groundwork to make it happen).
My employer had no compunction about sponsoring me. Their attitude was, she's the right person for the role and the company, just do it. So having a knowledgeable headhunter who can see where you'll fit in is important.
Also, I don't speak Canto or Mandarin and I was up front about it. It isn't a deal breaker, it just limits the firms you can work for (ie: I couldn't be a senior sales rep to mainland China, for example).
Have very good answers for questions like, "Why Hong Kong?" Everyone asked me that and I knew my reasons were sound. Get involved with the Chambers of Commerce events, especially the American and British Chambers. Go to networking drinks, attend presentations and meet all the big players. Be willing to introduce yourself, start conversations, show how excited you are to be there