What size of weight do you need? If you only need smaller 2 pound hand weights I got mine at the Jusco $10 Store--they often have things like that. They also have a special type of hand weight that is also a waterbottle--so you fill it with water (it is meant more for runners--who can run with them and then drink the water to rehydrate) and that determines the weight.
I know that there are several Jusco $10 stores around Hong Kong. The one that comes to mind is right next to Wing On in Sheung Wan--close to the Western Market. It's on a corner and the shop is in the basement, I think. There are other ones that people can recommend to you.