I'm a foreigner that work in China too, and I must leave China mainland to make my working visa. But you don't have to go back to your country, since you can make one in Hong Kong. But if your current visa will soon expire, i think you should re-new your visa first. You can do that in Entry and Exit Bureau in your current city (bring document such as copy of passport, copy of bank account, pass photo, local police statement for your resident, and fill the form), or you can go to Hong Kong (really simple, just need your pass photo and fill the form), or go back to your country (you can ask the document needed at Chinese Embassy there). It's up to you.