Just did Bangkok-Shenzhen with AirAsia with a ferry ticket to HK 5 days later. The AirAsia agents were a bit confused and had to call the supervisor, but let me through and asked me to send them the ticket by email, so they can forward it to SZX to prepare the paperwork.

On arrival, the AirAsia agent was waiting for me and give me the form and liaised with immigration. The same was done by AirChina staff for some Europens arriving on their flight.

Immigration did not ask much questions, but I did ask if it's okay to leave the country via a different port (ie: not by ferry, but by MRT thru Lo Wu and they said it's okay). The reservation of some sort was a must though and costed 16USD (refunable) on Klook.

PS: Alipay works great for paying everyhwhere, or almost everywhere by linking your (foregein) bank card.