Like very safe? Hong Kong taxis are no way as dangerous as those in Indonesia or Philippines.

But best and fastest way to get to Shenzhen is by the skylimo service and tickets start from HK150 (Shenzhen Huanggang Port) and prices will vary depending on which part of Shenzhen you're going to.

Since the Hong Kong taxis aren't allowed across the border and will just drop you at the Hong Kong customs (Huanggang crossing) leaving you to take another (very crowded) yellow shuttle bus over the bridge and to the Chinese customs side. If you touch down at 9:30pm you might be able to get the Hong Kong taxi drop you at Lok Ma Chau and then you can proceed on foot over a bridge to Futian Port (closes at 10:30pm).

But since the skylimo services most major hotels in Shenzhen so you wouldn't even need to switch to a Shenzhen taxi once you're across the border so I would recommend this option unless you're feeling adventurous.