As clipper801says you can take a coach to Dong Guang direct from HKIA.
When you exit look for "Mainland Bus" signs. Follow signs and you will find several service counters for different private bus companies.
Just tell them that you want to go to Dong Guang and they will sell you a ticket, tell you which bus to get on and put a sticker on you that says "Dong Guang" in Chinese
The only slight complication in comparison with the car service is that you have to disembark the bus at the customs point, walk through customs and then get back on your bus on the other side
I haven't gone to Dong Guang from HKIA but the fare HKIA to Shenzhen is about HKD150
Car service is easy, fast and expensive, the bus is easy, fast and cheap

nickyboy