Hello, I am currently here on a M visa. What do I need to switch my visa to a Z type in HK?

I am not sure if you can apply for it successfully in HK. Perhaps, you should go backto your country to apply for the Z type. In order to acquire it, you should find an employer and sign a formal contract with him/her. With the help of your employer, you should get the work permit first. Then you can apply for the Z type one.