If airfares via various routes are assumed to be roughly the same (never are), going through HKG is time saving. Recently, I went to SZX (the airport) by first flying into HKG. While at HKG, I stayed on air-side (w/o going thru immigation), and get ferry tickets inside HKG (the entire routing inside the airport is quite confusing (twist & turn; upstairs and down etc...), but signage are good. If in doubt, ask. At the ferry ticket counter, hand them the baggage claim check (if any), they will retreive them and take them onto the ferry. You meet your luggage after you arrive at Fu-yong pier (China side). With tickets on hand, you go to board I would not take a taxi from here to anywhere in Shenzhen as none of the licensed cab drivers would turn the meter on. They all want fixed fare negotited (I knew this via a conversation with a policeman). Even the police does not want to do anything about it.

If you go to else in Shenzhen other than SZX, I would go to SZX first, and take a cab from there.