I suggest go to an all inclusive sauna. This is easiest to get your feet wet because all you do is slip in to the door and you're pampered into another world. No finding hotels and buildings and getting lost and frustrated. then when you find the hotel they make you wait half and hour, while people coming in and out eye you and your evil intentions. Just slip in quietly to a sauna and the rest is ALL taken care of.
Macau is nice, upscale, and out of the way but will take half a day at bare minimum.
Otherwise if you want to stay in HK, then go to the SANDS sauna in TST (do a search on this website for it - very easy to find) You'll be in and out of there in less than 2hrs.
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