The temperature rarely goes below 15C so some people(like me) wear shorts and t-shirts all year round with maybe a thin jacket or a fleece on cooler days. It also rarely rains during the cooler seasons. Some of the locals though do with the full North Face winter jacket, hat, scarf, boots etc... Guess it depends on individuals.
You can find all kinds of clothes in shopping malls. There are Columbia and Patagonia stores for example and many outdoor shops like Pro Trek. You can also go to Stanley Market to pick up cheaper winter clothes.
There are some shops in Wanchai that sell seconds from companies like Arcteryx, Moonstone etc...
One thing you won't have trouble to find in HK is clothing of any kind. So much stuff is made in China these days and many of the companies have offices in HK and have cheap sales outlet.