Do I need to leave china to get a Z visa?

You need to leave mainland China to get a Z visa. But you can wait for the Alien Employement Lincense (also can be called work permit) in Mainland China, your employer should apply for the Alien Employement Lincense for you, after you get the Alien Employment License and Official Invitation Letter, you can go to Hong Kong to apply for Z visa, you don't need to return to Australia.