In KL and Hong Kong you can book tours at the hotels for a reasonable price as they all seem to use the same tour companies.

I wouldn't bother booking tours in Hong Kong- it is very easy to find your own way around. They have a great transport system. I would book in Bangkok as you only have three days. Try the temple tour(which includes the Grand Palace). We just booked as soon as we arrived, through the hotel.
Looks like a great trip! I shouldn't imagine you will want any trips while in Hua Hin- you will be exhausted by then!

I agree with Fiona that Hong Kong is easy to get about by public transport. Same for Grand Palance and Wat Po. Get on the skytrain to the last stop at the river, then a boat which will drop you very near Grand Palace. Much quicker due to heavy traffic than a coach tour. If you buy Nancy Chandler's map it's very easy to get about most of Bangkok using a combination of skytrain (BTS), Subway (MRT), river taxis plus the occasional taxi to get the short distances from public transport to where you are heading.

Nancy Chandler's map is a real must! Have a look at the website here. I suggested the tour as I remember being a lot overwhelmed the first time I went and the tour was a way of making sure I actually found some of the sites! Of course the downside of an organised tour is that you will probably end up in a gem factory whether you want to or not!

Yes the only problem with the tours is in Hong Kong every tour I went on ended at a gem/jewelry factory and in Kuala Lumpur they all seemed to end up at a batik shop.