Every great sauce has its origin myth. Ketchup may or not have begun life in 17th-century China, made from fermented fish; hollandaise definitely originated in France but no one's quite certain what it has to do with Holland. And so it is with that mainstay of modern Cantonese cooking, XO sauce, which appears to have sprung up in Hong Kong in the 1980s, but no one can agree on who invented it.

Legend has it that chefs were challenged to create a sauce using the most expensive ingredients available locally, so it could be sold to wealthy punters at an accordingly high price. They came up with a 'dry' condiment that I've become rather fond of, and ready-made versions are now found all over the world. The best is Mrs So's XO – or Sue Tai Ming Sauce – made by Ms Su Zhou Yan Ping, though unfortunately, as far as I know, it's not exported to the UK.

Ingredients include chopped jinhua ham from Zhejiang province, dried sea scallops (known as conpoy), fish and shrimp, though the sauce doesn't actually contain XO cognac – its originators simply appropriated the name to demonstrate XO's exclusivity.

I'm a huge fan and always try any new version I stumble across, and luckily the best fresh version I've tasted is available right here in London, at Duddell's, a new high-end Cantonese restaurant in London Bridge.

That's all well and good, but I can't keep visiting them every time I need my fix and, as I said, Mrs So's isn't readily available. That means I need to make my own, which obviously involves a return trip to Hong Kong – purely in the name of research and development, you understand.

I touch down on the Friday afternoon after a twelve-hour overnight flight, by which time it's too late to get into ingredient shopping, so I go straight to my hotel, drop off my bags and head out for a night on the tiles. Hong Kong provides nights out like no other. This bustling metropolis is famed for its hard-working people, and come evening they play even harder – you can find them thronging the streets of Asia's hub city into the small hours.

I join the work-hard-play-hards on a tour of the city's bars with some industry mixologists, sampling cocktail after cocktail until I crawl back to my hotel, thoroughly beaten. In my defence, they're younger than me and they do this for a living.

I awake under a cloud but I'm here for a reason, so I jump to it and head to Des Voeux Road West, also known as 'Dried Seafood Street'. This hub of Hong Kong commerce emerged soon after the city was formally declared a British colony in the mid-19th century. Chinese businessmen established a number of nam pak hong, or south-north trading houses, to conduct trade with the mainland and South East Asian countries.

More than 100 shops have been providing Hongkongers with their dried seafood for half a century and they are packed full of molluscs, fish and other sea life, alongside sacks full of herbs, dried mushrooms, preserved meats and Chinese medicine products such as gingko seeds and yellow fungus – even snakes displayed in glass jars. The Chinese believe these ingredients to be not only delicious but beneficial to their health, particularly abalone, sea cucumber, fish maw and shark fin. A heady and not unpleasant aroma emanates from these delicacies and in the humid heat all you need to do is follow your nose should you get lost.

A dozen large abalone – a kind of sea snail – can sell for as much as £1,000, not least because they're believed to improve vision and liver function. Chewy and meaty, with a mushroom-like texture, they're typically soaked for several days before being boiled with chicken or pork ribs and served with oyster sauce. Dried sea cucumbers are also soaked and boiled before serving, and they too command an eye-wateringly high price – those with the most spike-like papillae can fetch up to £1,000 a kilo.

The dried fish maws hanging from the ceilings reach as much as £6,000 a kilo, depending on their size, thickness, origin and the scarcity of the fish. Maws are dried swim bladders, and they're often used in soup for their glutinous texture and mildly sweet taste. The largest come from fish several metres long, and some restaurants serve them as a dish that's not unlike a strangely textured piece of fish, at least to my palate.

You can still find shark fins here, though happily sales are in sharp decline due to conservation concerns – supplies have dropped since many sea and air carriers banned shark fin cargos.

I'm here for more accessible ingredients, though; products like jinhua ham, salted fish, tiny dried sea scallops and shrimps. The ham is abundant – little stalls intersperse those selling dried seafood – and it tastes a little like a sweet parma, while Chinese salted fish is a tasty flavour enhancer that goes along way due to its extreme saltiness, rather like the salted anchovies of Europe.

The scallops are what we might call queenies and are deliciously sweet, almost addictively so, and I pop them in my mouth like peanuts as I go from stall to stall. Dried shrimp, on the other hand, are somewhat fishier for my taste – not snacking material at all – and they come in a variety of sizes and quality, so in lieu of a taste test I just buy the most expensive. Shrimp roe is the final ingredient on the list, and this I find in one of the many noodle shops lining the streets of Hong Kong. All in all I've spent more than 1,000 Hong Kong dollars (a little under £100) on enough ingredients to make a kilo of sauce. Luckily a little goes a long way.

The next step is to bring these disparate ingredients together and make my own XO, and I start by soaking the dried scallops and shrimp in lukewarm water overnight. The following day I gently toast the sliced jinhua ham until it's ever-so-slightly crisp before I julienne. Then I lightly bake the salted fish in an oven before chopping finely. Next, I drain the scallops and dried shrimp and blend in a food processor until a kind of shellfish floss is achieved. I finely chop garlic, shallot, Thai red chillies and sauté in a little neutral oil with prawn roe until fragrant. Finally, I turn the heat down low, add all the prepared ingredients and stew until the colour is a dirty strawberry-blonde colour.

The resulting sauce is best used sparingly in cooking or as a condiment, but once I'm back in London I'm looking to serve it atop highland steak at a surf and turf extravaganza I'm plotting with fish chef Nathan Outlaw. In the meantime, a large bowl of scrambled eggs and XO is salving my hangover and lifting the cloud before I make my way back to Blighty.

For more information on Richard and Nathan's surf and turf dinner at Outlaw's at The Capital on 20 August, keep an eye on capitalhotel.co.uk