For something different, stay at the Shangri-La Shenzhen. It's by Shenzhen Train Station and a moment away from the walkable Hong Kong Boarder at Lo Wu. The walk is noval and doesn't take long. On crossing to Hong Kong, the metro station is right there. Buy a ticket by tapping your credit card and ride to Admiralty station in first class (only metro line to have first class). Then transit to Central/Hong Kong station before getting the metro up to the airport..

Ok, its a ckunky way to go if you have luggage, but the walk across the boarder is cool and views of the New Territories on the metro is nice.