Depending on where you live, larger supermarkets that should have the things you want include:
Oliver's - Prince's Building (Central)
Taste - Festival Walk (Kowloon Tong), Tung Chung
Wellcome - Repulse Bay, Westwood
Great - Pacific Place (Admiralty)
Jusco - APM (Kwun Tong)
Uny - Taikoo Shing
City'Super - IFC, Gateway (TST)
Oliver's generally has a good deli section. The quality at City'Super can vary because of low turnover (I've had Roquefort from City'Super that tasted more like rancid salty sweaty cardboard).
Also, there's a good small "gourmet" deli in Happy Valley called Fentons:
http://www.fentonsgourmet.com/db/index.asp. (The website kinda sucks)
Address: 151-153A, Wong Nai Chung Road, Happy Valley, Hong Kong