I couldn't figure it for NZ and ended up flying back to hand things in at the embassy myself. For my Australian documents I managed to find a lawyer who offered legalisation as a service. Both options were expensive, slow and problematic, but I think sending things down to a local lawyer will be my choice in the future if I don't have a friend to do it for me.
I just did a Z visa run to HK and had no problems. Australian passport which cost HKD 1520 for next day service.
Just make sure you have all the photocopies you need before you go, or take a working Octopus card to pay for the copy machine. It was a little embarrassing and frustrating standing in line watching foreigner after foreigner get to the front and then delay the process trying to beg an Octopus card off the people around them.
As mentioned in other posts, make sure you have HK registered as your consulate of choice on the paperwork or you won't be accepted. They guys at the foreign experts office here were nervous about rejections and didn't really know the consulate's policies, but listed HK "at my own risk" and it worked out fine.
Visa Fee: 310
Visa Rush Fee: 310
Service Fee: 240
Service Rush Fee: 660
Address was 20/F Capital Centre, 151 Gloucester Road, Wan Chai, HK. Don't bother going to the address listed on the consulate's website.
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Awesome little bakery. Lots of interesting food. For every Australian out there, the meat pies smelled great, though they weren't ready for eating when I went in. Will definitely be back for those soon.
Word. Sandra's rocks. Y'all have amazing food. The table out the front is the best!!!