I have studied Korean in three schools, namely, HKU, Korean Language Education Center (KLEC) and Hee Sung Korean Language School. Let me share with you my experience.
HKU (
http://www.hkuspace.hk) has courses in both Kowloon (mainly Mei Foo) and Hong Kong Island (mainly North Point, Taikoo Shing or Wanchai). One class per week, so it would not be so demanding. If you are busy and do not want to have too much homework, this is a choice. No sir (盧弘沂) is teaching there and maybe you have already known, he was a famous Korean teacher and spoke Cantonese very well. His class is interesting, for he would teach you some interesting things in Korea and Korean. But, if you want to learn more intensively, you may be disappointed there, because the course is not very systematic. For beginners, ok, but for more advanced classes, there are better choices elsewhere.
KLEC (
http://www.klec.com.hk) is a good school for studying Korean. It has two branches, one in Mongkok and one in Wanchai. The teachers are good and experienced and all of them are Koreans. Many of them can speak Cantonese very well. Even if some of them can't speak Cantonese very fluently, they can speak English and Mandarin very well. They have small classes, so learning would be more effective, especially in conversation, because you have many chances to practise. The only drawback is it's price, which is comparatively expensive to HKU, CUHK, etc. I have studied there for about 1 year and my Korean improves a lot.
Hee Sung Korean Language School (
http://www.hs-korean.com.hk) is a new school in Tsim Sha Tsui (Carnavon Plaza), but it is really a very good school. Ms Kim is a native Korean and speaks Cantonese very well. She is very experienced as she has taught in other schools before (including KLEC) and is whole-hearted in helping students to improve their Koreans. It is also small group teaching, but the price is a bit cheaper than KLEC, especially the private 1 to 1 tuition fee. I have transferred from KLEC to Hee Sung and studied for about 1 month for 1 to 1 private tuition, and I consider that I have made a good choice. I learn a lot here and have introduced many of my friends to study here, and they all have positive feedback.
There are still some other choices, such as CUHK. CUHK is systematic in teaching, especially in the grammar aspect. They have many classes, some in Kowloon (mainly Tsim Sha Tsui and Yaumatei) and some in HK Island (mainly Taikoo Shing, Central). If you want to emphasize on grammar learning, it is a good choice. But, since it is not small class, you would have less chance for practising conversation that in Hee Sung or KLEC.
I also know that Baptist University has Korean class as well, but I am not sure the place of the classroom. As far as I could remember, it seems to be in Kowloon Island. You may search their website and check.
Hope that the above information could help you. If you need further information, I would be more than happy to help you.