The Wanchai to Shenzhen busses leave from just across the road from the Wanchai Star Ferry terminal, to be precise about the location. I got off the ferry and saw a bunch of busses so went over and checked them out and was surprised to see they went to Shenzhen (also to the airport in Shenzhen I believe).
Also came back via Lok Ma Chau and I agree it was not at all busy. It is not indicated very well on the Shenzhen subway map that this is at one terminus of the short (#4) subway line.