I buy a lot of my baking products at I Love Cake (188 Wan Chai Road, Wan Chai, tel: 2671 2644). The store has good prices on butter, cream, leaf gelatine and parchment paper, and it stocks hard-to-find products such as lustre dust and transfer sheets. I recently started using Lesaffre SAF-Instant blue label instant yeast for doughs that are high in sugar, and it has made a big difference: the doughs are easier to work with because they're not as wet as when I was using regular instant yeast; a large amount of sugar usually draws the moisture to the surface of the dough, making it difficult to roll out. I Love Cake sells the yeast in reasonably sized packets of 125 grams for HK$25.
I Love Cake also has the cheapest price I've found in any retail shop for saffron. The Rhinoceros Brand of saffron is produced in Spain and sells for HK$48 for one gram; that might not sound like a lot, but a little saffron goes a long way.