If you’re staying in Futian area of Shenzhen I’d prefer to take the high speed rail to west Kowloon station then walk to the adjacent HK AirPort Express train station and take the train to the airport from there. You’d have to enter HK and go through passport check but it’s not too bad usually. I believe the cost would be around 70 RMB for the high speed rail and then 100 HKD for the airport train. It’d be about an hour and a half in total time including going through passport control at West Kowloon and walking/shuttle bus to the AirPort Express. You’ll also be able to check your bags at the AirPort Express station in Kowloon.