I'd also suggest going with the tour, unless you have a lot of time. If you're doing the night, you can pre-book the White Swan or elsewhere thru some of the agents here in HKG.
If you need some agents contact numbers, drop me a line.
If you're in Shenzhen, check out Lo Wu Commercial City (above the bus station, 2 mins walk from Customs) - best selection of brand names at well...far from brand name prices...