You need to find a employer to sponsor you to obtain a Z Visa.

Then after the employer has given you the proper documents then go to HK and use an agency to finish the Z visa for you as you can't do it alone in HK, if you wish to take your employers invite letter and other documents to the Chinese embassy alone, well then you're required to go back to your Home Country.. If you go to Hong kong then you must find an agency..

If you have an employer who is sponsoring your Z visa, you should used a delivery service - Fedex, UPS, DHL - and send your passport and required documents to an agent in your home country, who will then mail it back to you. The whole process should take under ten days and is much cheaper than using the Hong Kong agent method, and you don't have to go anywhere other than your delivery service address. If you're an American, I recommend mychinavisa.com

Bryan