Its very easy to book airtickets once in China and the price will be much cheaper than if you booked them outside of the country. I think if you can find a travel agent in Shanghai who specializes in Hong Kong you will be able to find a ticket to Hong Kong for not that much more than a ticket to Shenzhen.

I have done the fly to Shenzhen then cross to H.K. before and it is not as convenient or easy as it might seem. For me the H.K. ticket would have to be 1000RMB more in order to make the Shenzhen route worth my time. The Shenzhen airport seems closer to Guangzhou than Shenzhen and a taxi to the H.K. border takes about an hour. Then you play roulette with the wait time at Lo Hu and once you make it thru you are rewarded with boarding a packed KCR train that takes 45 minutes to Tsim Tsa Shui or 50 minutes to central H.K. island.

Its much easier to fly directly into H.K. airport and take the airport express to your destination.

Enjoy China its a great place!