If it's your first trip to HK, I'd stick to exploring HK unless you'll be there for more than a week or unless there's something very specific you want in Shenzhen. You'll spend lots of time getting to and from Shenzhen, and it's a big place so it will take you time to get oriented -- you'll be spending lots of time and effort that could be spent enjoying HK shopping, exploring HK neighborhoods, or taking some time out in one of HK's parks.