Basic travel smarts apply when traveling via crowded transportation. Don't put your wallet in your backpack's exterior pocket or walk around with your purse unzipped and your wallet lying on top. I see so many tourists walking around with their handbags unzipped and you can see their wallets right there! If people are pushing up against you, look at them and around you. Don't zone out. It's crowded but not that crowded.

Each year, several of our new hires "loose" their wallets and ID at the Hong Kong-Shenzhen border by putting their wallets in their backpacks

A lot of the crime is committed on the Shenzhen side just as you exit the terminal and walk into the zoo-like bus/taxi pickup areas. As long as you are traveling smartly, look like you know what you're doing and aren't schlepping 6 bags (i.e. always have a free hand) then you should be fine. A while back there was group-pickpocketing on the Shenzhen side of the border. Not sure if it is still going on.

The scenario:
If you are loaded with bags or wearing jewllery (i.e. golf bag, handbag, carryon, shopping), the spotter singles you out and a group of 6 or 8 people completely surround you. Obviously you're not going to let go of your bags so your hands are not free to defend yourself. They take advantage of that and remove your jewellery and unzip your purse and take your wallet etc. If you scream, no-one will help you (including the paid-off cop standing nearby) because no one wants retaliation or worse and you will probably be further humiliated by having your pants undone and left at your ankles.

As long as you pass under the spotter's radar you'll be fine Also the simplest travel method is usually the skylimo or the yellow bus.