I brought my Indonesian helper with me from Singapore. I didn't have to send her back to Indonesia, but could get her transferred directly from Singapore. Just make sure you don't cancel her work permit in Malaysia until you have the work permit for Hong Kong. Once you have your own HKID and HK address, use a local agent to get your application in as soon as possible as a transfer. I used Dulce from Trump Line Consultants, +852 2479 7098, [email protected]. She'll tell you what documents you need to assemble. Make sure you have a copy of your current contract as proof that this is a transfer, because the fees for a new Indonesian hire is much higher. For a transfer, TLC's fee is HK$4,800 of which a portion goes to the Indonesian consulate for them to endorse the HK contract before it can be submitted to the Immigration Department. For a new hire, the fee is 7-months' wages, of which a portion goes to the Indonesian consulate for the endorsement. Please note that it is illegal to deduct the fees paid to bring your helper from your helper's wages in Hong Kong, although from what my helper tells me about flyers that she receives in Bahasa, that is how it's disclosed. Therefore, employers who deduct the wages run a risk of getting fined and going to jail if they have a falling out with their helper and she goes to the police to say that her wages have been withheld.
Hope this helps. Welcome to Hong Kong!