I've done this before. Works reasonably well with one huge caveat. During the Canton Fair, the KCR train to CAN is often sold out for the day by the time you show up from the AC flight. You can reserve ahead of time, but what if your flgiht is delayed. If you need to get to CAN that night (or early next morning) you then get to experience the joy of taking the MTR to the border and catching a chinese train from Shenzhen to Guangzhou. Just the thing you want to do after a long flight.