Can I change business visa to student X while in china? My uni seems to think I must leave

I plan to enter on business type to study martial arts in shaolin for two months, after this I need to go to Wuhan university (I have been accepted and they sending me the jw202 and admission etc). How do I change it to student X within China? The university seems to think I must leave the country, is this true? I thought it could be done at a local PSB exit and entry administration office. Is going to Hongkong count as leaving country? Perhaps I could do it there. Any idea how long it takes to process student X in Hongkong?