For almost the exact reason as OP stated, I stayed in Shenzhen and day trip to Kowloon and Hong Kong on numerous occasions (whenever HK hotel rates are sky high), most recently during New Year. It is quite easy and I didn't find the trains to be particularly crowded at that time. Sometime ago, before they change TST East, I used to train from Lok Mau Chau direct to TST East Station and walked 4 minutes to the Ren Kowloon (since demoslished). Now I alight at Hong Hum and move on from there.
JW is my favorite hotel in Shenzhen. They treat elites very well. Exec Lounge is fantastic. Elites will have breakfast on 2nd floor restaurant. You would not believe the spread of western and Chinese food! Reminds me of the Le Meridien in Bangkok.
From the JW, get in a cab. 12 to 15 minutes and 25 RMB later, you are at Futian border crossing. The corssing is peprhaps the best (not been through all of them) in that it is all under on roof. Chinese on one side of the river, and HK on the other.
Be sure you get a card from the hotel with Chinese address of the hotel for the cab driver. Some driver may pretend they don't know where it is.

View from the JW Exec Lounge
http://stefanofoto.smugmug.com/Trave...303921&k=iEz7o