I took a private minivan from Grand Hyatt Shenzhen into Hyatt Tsim. It's a little more expensive that doing the border crossing on foot and then taking the subway into lower Kowloon, but it's so much more relaxing, etc. You won't have to stand in the long line at the border, which is so unpredictable.

It's 800RMB for the van, so if you've got a few people traveling with you it's actually cost effective.

Ask the Hyatt Shenzhen Lounge manager to help you set it up. Her name is Wendy.