I have a trip to Shenzhen coming up. Assuming flight costs and schedules are similar, is it easier to fly to PEK and then on to SZN, or easier to fly into HKG and then enter China/Shenzhen through a land crossing? So, really my question is how much of a hassle it is to go from HKG to Shenzhen.

(edited title since original question—US to Shenzhen via HKG or PEK—was answered but the thread lives on)