You may try in some big department store like Central or Emporium. Look for maternity section. It'll be more expensive then those on the street, of course, but still cheaper than in hkg. Also check with staff if u can get VAT refund.
Baby stuffs in bkk are not cheaper in bkk since it's mostly imported. Only those locally produced stuffs such as bottle liquid detergent or baby clothes detergent will be very competitive comparing to HK.