You can definitely find one of those puzzle things in the small toy shops in Wan Chai.
Go to the corner of Johnston Road and Tai Yuen St. (MTR Exit A3) and you'll see that Tai Yuen St. is a crowded street market. Walk down the street and look out for a bunch of toy stores behind the street vendors. They're filled with fun goodies, everything from Hello Kitty to Plastic BB guns. My friends recently bought a similar puzzle thing like you're talking about, except instead of wooden boxes, they're metal rings.
Also, if you don't find it now, you should come back after the Xmas season, as right now all those stores swapped their shelves with all Xmas decorations and put their usual stock in the backroom.