Make sure whether you need a visa or a residence permit:
Visa is meant only for a short-term stay of up to 90 days
For a stay of more than 90 days, a residence permit is required. If you intend to work in Finland, a residence permit is usually required even if your stay is shorter than 90 days.
Holders of Hong Kong SAR, Macau SAR and BN(O) passport holders do not need a visa to Schengen-area.
Make sure where to apply and which documents are needed
The Consulate General of Finland in Hong Kong handles the applications of Hong Kong and Macau residents and the residence permits to Finland.
The Consulate General of Finland also represents Iceland, Denmark, Norway and Sweden and issues visas on their behalf.
A residence permit is needed if the duration of stay in Finland is longer than 90 days. More information on residence permits: Finnish Immigration Service. Residence permit and work permit matters and applications to other countries and handled in a mission of the country in question. The Consulate General of Finland in Hong Kong handles only residence permit applications to Finland.
Visa must be applied in person from the Schengen country that is the main destination of the journey. If the visit includes more than one destination, the visa must be applied for from the country that is the main destination (according to the length or purpose of the stay).