VISA to go to Hong Kong

I have to apply for a visa to visit Hong Kong in early January. This is my first time. So, is it must to apply to Immigration Dept. of HKSAR? Or can I apply in Chinese embassy in Kathmandu? Rule in the embassy's website says that first timer should apply directly to I mmigration Dept. of HKSAR. It will take a long time and I may not get visa on time. I am confused! What should I do?