Typically, you change into a robe and slippers in the changing room. Sometimes, there are private areas for this.
Many spas have steam rooms or showers, saunas and hot tubs/hydrotherapy pools in the changing areas. You can go nude, but wrap yourself in a towel to get there. Or wear a swimsuit.
When it's time for your treatment, the therapist will find you and take you to your treatment room. She leaves and gives you time to hang up your robe and lie on the massage table. The therapist will knock before entering. They're usually more worried about seeing you bent over naked as you put your slippers into the drawer than you are about being caught naked.
You can wear underwear if you like.
European spas (particularly in Germany) are more relaxed about nudity. They don't use elaborate towel-draping techniques, and men and women typically take steam and sauna baths together nude (which is highly unlikely to happen in Hong Kong).
If you're uneasy about nudity in the spa, think twice about getting a body treatment such as a salt glow scrub or a vichy shower. You're more likely to be exposed at some point.