Does one have to go back home in order to apply for the work visa?

Hi everyone. I am currently a Masters student in China from a Southern African country and I managed to find a job in China. I would like to ask if either:
a) I can simply go to Hong Kong for the day (since you are required to exit and reenter China) in order to change or apply for a new visa or,
b) I have to go back home then come to China (I have been hearing this a lot of times).

Please advice for the HR department is taking time to respond to my query.