I went back to Hong Kong for a quick visit about two months ago (I grew up there). Didn't have much luck finding Touhou doujinshi that I'm interested in, but still managed to find some nice stuff.
Conpeito is one of the shops inside IN's Point (現視點). It's a small shop and has a small selection of Touhou selection (not sure if he got anything new from his recent trip to Japan). Yau Ma Tei MTR is literally next to this Mall. Take exit A2 and make a right.
https://www.facebook.com/conpeito?fref=tsShop 133 IN's Point
530-538 Nathan Road
Mong Kok, Kowloon, Hong Kong
*this shop is technically in Yau Ma Tei, but still Mong Kok by address.
There is a couple shops on the same floor that has Touhou figures. Though one of those shops only opens on weekends and it was too late when I spotted a Suwako that I'd like to get.
If you walk on Nathan Road towards Mong Kok MTR, I recommend this shop in Sino Center (信和中心) about 5 minutes by walk. They have some a few rare Griffon Touhou figures and nearly all of the Figma and Nendoroid Touhou figures as well while I was there and bought a few figures from them.
Bear Bear Kuma
Shop 104 Sino Center
582-592 Nathan Road
Mong Kok, Kowloon, Hong Kong
If you do not mind trying a hole-in-the-wall shop, you can try Getter Alliance Japan Anime Shop. It's inside of this complex. Nothing massive, but I was able to find a few little things and a doujinshi I had never thought of finding there.
http://goo.gl/maps/TRNLgShop 54 Ho King Commercial Center
2-16 Fa Yuen St
Mong Kok, Kowloon, Hong Kong
You won't be mistaken you're looking at the wrong place since the shop's sign has Reimu on it (the guys was cool about me snapping a picture of the shop)
I hope you'll find something cool.