I'm currently looking again at Lust, Caution and have found a few more locations that I missed following my initial, rather cursory, viewing. You can see the original posts here and here with updated screenshots.
One of the locations I had trouble finding initially was the nondescript beach where the would-be agents are practicing their marksmanship with pistols. This one took me an age to locate but I finally found it nestling on the southern coast of High Island in Sai Kung District. The beach doesn't appear to have a specific name but the maps refer to the general area as Ma Tau Wan (lit: horse head area) and actually, if you turn the map around, that part of High Island does actually resemble a horse's head!
If you want to see the exact location then click on the location label at the bottom on the post but for locals who are familiar with the general area then its quite near to the Sha Kiu Tau restaurants. From a filming point of view, the only way to get here is by boat - although if you aren't lugging around a ton of film equipment, you can hike to it from High Island reservoir road.