SkyLimo offers transport from HKG to Shenzhen via Shenzhen Bay or Huangang Checkpoint. Typical price is $150 HKD per person however if you have a lot of baggage they may want to charge an additional $100 HKD. I've used SkyLimo a handful of times and have had no problems with their service other than the mentioned extra baggage charge one time.

You don't need to pre-arrange the service. Their booth is located in the coach station underneath Terminal 2. Just ask for SkyLimo when you get to the bus area, They use Toyota Alphard vans leaving just about every 30 mins to either location. They try to fill up the vans so you will most likely be sharing the ride to the checkpoint.

Since late 2017 the Shenzhen checkpoints require all passengers to cross the border on foot. The van will drop you off after leaving HKG and you will cross the checkpoint at Shenzhen bay or Huangang on foot. From there you arrange your own transport via taxi, Didi, or negotiate with one of the many private drivers who will try to offer you a ride directly outside of the checkpoint.