Shanghai Food in Hong Kong?
Well, dan dan mian (擔擔麵) are Sichuan, not Shanghainese... that said, there is an excellent Shanghai/Jiangsu restaurant called Shanghai Kitchen (阿拉廚房 in Chinese, which does not translate to 'Shanghai Kitchen'). It is a bit out of the way but I think worth it.
It is in Maritime Square, Tsing Yi, New Territories. Exit F from the Tsing Yi MTR station.
When I worked in HK (a decade ago) Wu Kong was still a solid presenter of old-line Shanghai cuisine and there is no reason to think that they have changed in the interim.
Since I left HK a couple of branches of the venerable Shanghainese small eats emporium Wang Jia Sha have opened in HK. One is in Whampoa Garden in Hung Hom, don't recall the other's location.
You can have reasonable expectations of getting decent xiao long bao (steamed dumplings) at either of these places.
The two HK branches of Ye Shanghai serve good modern, somewhat upscale Shanghai (and regions nearby) food, and they also have dan dan mein on the menu. I assume by 'steamed dumplings' you mean xiao long bau, and yes, they have very good ones, but I like the ones at Din Tai Fung (in Silvercord, Canton Rd) better. Ye Shanghai is in Pacific Place on the Island, and also in Marco Polo HK Hotel in TST. If you want to eat lunch/dim sum at the latter location, you can currently get a 20% off coupon from their website here: http://www.elite-concepts.com/eatplusdrink.php?id=22
For dan dan mein, the most famous place in HK is Wing Lai Yuen, which has been making this dish, with handmade noodles, since 1947. This is a Sichuan restaurant, not Shanghaiese. They're in Whampoa Garden. There's usually a long line-up, so be prepared to wait. Not fancy. http://www.winglaiyuen.com.hk/introe.html Here's a photo of their dan dan mein:
If price and convenience are the main concerns, the various branches of Crystal Jade (a chain from Singapore, but don't hold that against them) restaurant all have very reliable dumplings and excellent - big bowl, handmade noodles - dan dan mein, at very good prices. But be warned, they are usually packed, almost cafeteria-style, and the service can be random even by HK standards. The location in Wanchai is better-managed than the one in Harbour City. Here's a photo of their XLB and DDM...
Slightly off topic
IMHO, I think the BEST Shanghainese food in HK comes from the kitchen of the 'Shanghai Compatriot Association' in central. The drunken squab and the Stirred fry shredded eel with yellowing chives and bean sprouts are to die for! Pity its a membership only club!
I just came back from HK last week and have the opportunity to try some of the Shanghai restaurants there. Dai Tin Fung was pretty good but pricey in my opinion. Their XLB was great, meat wasn't too hard and the soup was pretty clean tasting. I tried some other places too but can't remember their names but the one that really stood out was Beautiful Shanghai at Mega Box. Their XLB was just amazing, the soup had a clean taste not oily or muddy. The dan dan noodles had a nice ma lat flavouring too. If you like the "wall bah" fried rice cracker, it's really fresh and tasty here.
If you only care about XLB or dan dan mian, then you can go to the places that have already been mentioned.
If you are looking for real, authentic Shanghainese outside of these items, then my recommendations are as follows. I take my mom to these places when she's in town.
HK Old Restaurant - several outlets and they have menus with pictures
Liu Yuan Pavilion - on Lockhart Road in Wanchai - one of the best upscale Shaghainese in town that you have access to