Speaking of which is relative, like with which in
I have a wok, with which I cook sometimes.
Nowadays you might be more likely to say “that I cook with”, and analogously “that I'm speaking of” (when I say the following).
I've never used speaking of such, but it seems to me more defensible structurally as the beginning of a sentence. It's the same such that occurs in the phrase as such (when that phrase is not a sloppy substitute for therefore):
I am a member of the club and as such [=as a member] I have access to its facilities.
Speaking of which makes syntactic sense (to me) only as a continuation of the preceding sentence, so it shouldn't be used to begin a sentence in formal writing, in my humble opinion.