Go to the ferry desk, give them your baggage claim ticket.
They go and fetch your bags for you and put them on the ferry.
You do not clear immigration or customs in HK...you do that at
Shenzhen port.

Its simple and hassle free:

Ferry check-in procedure

Proceed to "Ferries to Mainland/Macau ticketing counter" at transfer area E2 (before Immigration).

http://www.hongkongairport.com/pr_im...ansferArea.jpg

Purchase the ferry ticket showing your passport and your checked baggage tag.

* Customers with checked baggage are required to arrive at the Ferry Transfer Desk 60 minutes before ferry departure for document check/ purchase of tickets. Customers with hand baggage only are required to arrive at the Ferry Transfer Desk 30 minutes before ferry departure for document check/ purchase of tickets.
.

Board Shuttle train (APM) for SkyPier
Board shuttle train(APM) from the entrance located next to "Ferries to Mainland/Macau ticketing counter"

http://www.hongkongairport.com/pr_img/SkyPier_APM.jpg

Exiting Shekou Ferry Terminal

When exiting the ferry terminal bypass the taxi touts. They can be very aggressive and I have
actually witnessed them getting violent. So go straight outside to the taxi queue.

http://www.szcchina.com/blog/wp-cont...ekou-ferry.jpg