The cheapest furniture shops are in Macau. If you're buying a lot it can save you a lot of money. However, with just a few pieces, you're probably better off staying with the Hong Kong shops. If there's a problem with it and it has to go back to the factory, it's much easier to get it back via the HK shop. (The stuff is made in the same factories whether you buy it in Macau or HK.)
The shops in Horizon Plaza in Ap Lei Chau mainly deal with already made stuff, and it's been gettin expensive of late. The best place in HK is Queens Road East in Wan Chai. There are lots of shops there all offering a similar service. We've bought or had furniture made from several shops and have been very happy with it. One piece had to go back but it wasn't a problem at all.