You can take a train to Shenzhen from the Kowloon Canton Railway Station. Don't know the price, though. Or maybe even a jetfoil-type ferry. Sometimes, those are faster. Check with your HK hotel's concierge. Border crossings and procedures take longer on the weekends.

But you're going to need a China visa which will cost you at least $50 depending on how fast you need it. Since, you're in NYC, apply at the Chinese Consulate in person. You can't do it by mail (direct to consulate) anymore and the US based visa service companies charge too much for their fees.