We demonstrate the post-induction of high-quality microcavities on a silicon photonic crystal (PC) waveguide by integrating a few-layer GaSe crystal, which promises efficient on-chip optical frequency conversions. The integration of GaSe shifts the dispersion bands of the PC waveguide mode into the bandgap, resulting in localized modes confined by the bare PC waveguides. Thanks to the small contrast of refractive index at the boundaries of the microcavity, it is reliable to obtain quality factors exceeding 104. With the enhanced light-GaSe interaction by the microcavity modes and GaSe's high second-order nonlinearity, remarkable second-harmonic generation (SHG) and sum-frequency generation (SFG) are achieved with continuous-wave (CW) lasers.