Fly to HKG is quickest

Bus is best option I think

When you get through arrivals look for "Mainland Buses" sign (basically straight ahead, then left through an underpass). There are several operators from about 8am that run frequent services all over Shenzhen. Just tell them exactly where you want to go and they will tell you what bus to get on and put a sticker on you to tell the bus driver where you are going

Best service is a company called "Skylimo". They operate SUVs that, as private cars, don't have to disembark the passengers at the border crossing unlike the buses. This saves a lot of time and hassle. There is a small premium for this (I think the buses are HKD150, Skylimo is HKD210). They will then take you to a central point in Shenzhen from where you will be reallocated onto a minibus for your particular area of the city

I always use this method, never the ferry

nickyboy