Maybe also worth trying is the Community Advice Bureau to see if the Embroiders' Guild or similar is still in Hong Kong. They might know of some classes. Also, some of the Associations, like the Australian Association or AWA might have small sewing or knitting groups who might be able to suggest teachers.
There's a shop in Causeway bay I think it's call Jaeger (Am not sure of the English name). It's on Pak Sha Road (it's the 1st one side street on the right h/s if you come out from MTR walk towards Lee garden direction). They have got everything you need there!
Knitting needles, wool, patterens etc are available at 342, 3/F World-Wide Plaza, 19 Des Voeux Rd, Centreal (tel 25436878). I've been to the shop in the past and the staff are quite friendly.