Having tried all options I will give my 2 cents.....
Take the bus A42 (check the number, but I think it is right) from the Airport bus station to Sheung Shui KCR. There you get of the bus at the KCR station and get on the KCR to Lo Wu and walk across the border.
The bus A42 doesnt stop, so it is quite a fast service. You end up at Lo Wu in Shenzhen and that is where most people want to go....