Train is probably the worst option for HKIA to most places in Shenzhen/Dongguan. Unless your destination is right at a train station.

Ferries to Shekou in Shenzhen is frequent, but you still need a long transfer to Dongguan. Direct ferries to Dongguan is only 5/day. But if your arrival time is fine, it can be the most comfortable option. Ferries depart HKG at 1030, 1230, 1400, 1630 and 1830.

Buses are most frequent and cheapest, but will require going through land border at Shenzhen Bay. Can be crowded at times and on certain days. The buses may have a stop right or close to your destination (or not).