why waste a vacation night in a cramped transit hotel? both shenzhen and hk are interesting places in their own right (though i can't really say i'm a big shenzhen fan).

i would play it by ear. reserve a hotel in shenzhen, but if you get in early and are feeling adventurous, book a prepaid hotel in hk from one of the counters at shenzhen airport. ime the airport agents provide very good rates at mid-range hk hotels.