Going shopping in Shenzhen is probably not worth your while but you can easily do a half day excursion from HK. If you'll be staying at the Sheraton, just walk to the East Tsim Sha Tsui MTR station and take the train to Lowu.

Yes, Sheraton will be your best bet.

Check out this previous Thread on transport from SZX to Hong Kong:

http://www.flyertalk.com/forum/china...airport-3.html