For some of the best and most authentic (not to mention cheap!) Thai food in Hong Kong you need look no further than Shek O Thai! It's the first restaurant on your right as you come into Shek O - right opposite the roundabout. The food is exceptional value for money and quite often you can ask for something that isn't on the menu and they will cook it for you. It's not much to look at, but certainly worth a visit!
this is prob too late, but you might have realised by now that hk isn't that big. you probably won't be limiting your activities to shek o just because you're staying there. dining options in shek o and on the south side of hk island are slim as everything's not as concentrated, but two places i can think of off the top of my head are black sheep and paradiso, owned by the same (french) guy. food is ok - casual, almost homecooked french. paradiso is right on the beach which is great.