Originally Posted by zman

There is ferry service from HKG airport to Shenzhen inside security.
You buy a ticket and give them your luggage claims and they retreive your luggage so u never have to clear customs/immigration at HKG.

Or u can stay in Hong Kong and commute to Shenzhen every day. There is frequent train service from central Kowloon (about 1/2 hour) but you will need a Multiple Entry China Visa.