Not a bad way to move from Changsha to Shenzhen in a hurry, though there's not much in the way of attractive scenery. I'd go for the cheap tickets, but some like to pay more for a bit more space.

Only real issue would be if you're travelling with lots of heavy luggage. If so, the Metro/MTR transfers to Hong Kong could be a hassle.

Language shouldn't be a big issue: just follow the crowds.

Best to buy your ticket ahead of time. Your hotel should be able to steer you to a nearby ticket office.

Of course you'll need to buy separate tickets on arrival for the Metro/MTR.