string to hex string /hex string to string conversion

How much data are you looking at sending? If you don't mind a bit of (short-term) memory overhead you can do:

// to hex
data.split("").map(x=>(256+x.charCodeAt()).toString(16).substr(-2)).join("")
// from hex
E.toString("01020304102030".match(/../g).map(x=>parseInt(x,16)))

This should be reasonably fast, but it'll allocate an array so for anything over a few hundred bytes it could cause problems.

String append is actually pretty fast & efficient in Espruino, so using your idea with a few of the hacks from above you might find this is better:

// from hex
for (var x of data)msg+=(256+x.charCodeAt()).toString(16).substr(-2);
// to hex
var l = recvData[1]*2;
var s="";
for (var i=0;i<l;i+=2) s+=String.fromCharCode(data.substr(i,2));
sockData[connection]+=s;

It might be that you can configure the module to output data in binary though? That might be an easier way of working.