If you arrive at hkia take the shekou ferry. You only have to clear immigration on arrival. They reroute your bags to e ferry. Amazing, cheap, efficient. Wouldn't do it any other way. You book your ticket just befor exiting hkg immigration and wait at most 90 minutes to he next ferry run. If you carry no checked bag yu can be on the next ferry on 30 minutes.
Way back same thing in reverse. And you get your hkia departure fee back in cash!
Jw Shenzhen is amazing, they are generous with their platinum premier suite upgrades, and I used Marriott Thailand gold voucher rate for 50% off...