There is a sequence in this film when JC disguised as a fellow criminal boards the pirates boat to be transported to their coastal hideaway. There is an area in Sai Kung where many (if not all) of these shots were filmed and it can be found right next to Pak Lap Wan. Here is a reminder:
There are several caves here, and the one at the bottom is actually known as Muk Min Cave. This shot was filmed looking through its south/western entrance with Pak Lap Tsai immediately behind it. The shot at the top was actually taken with the camera placed looking down from the bit of land above the various sea caves although actually it was the next cave over used for this purpose. Here is a google shot to give some context. The circle marks the spot where the camera was placed to look down as the boat passes underneath and the arrow shows where Muk Min Cave is located.
For a great modern day comparison of the lower shot (looking through the cave) there is a close angle available on Panoramio courtesy of RINGO928, but I've embedded it below anyway.