Here are a few sites listing multiple hotels, which may give you an idea of what's available and where it's located. You may then find it best to contact the hotel directly.
http://www.asiarooms.com/hong_kong/hong_kong.html : Rates, reviews, photos, and excellent maps. Sometimes prices are very good, but there's no immediate confirmation of availability; if you book with them, they'll email you back with confirmation (or denial) in a day or two. A good option if you want a low price and have plenty of time to waste making a reservation. The website is certainly worth a visit for a good overview of most HK hotels.
http://hotelclub.net/ : Not as rich in information as asiarooms.com, but does show room availability and gives instant confirmation.
For the cheapest possible rooms, try
http://www.hostelworld.com/countries...nghostels.html .
Travelocity, expedia, orbitz, blah, blah also list rooms, sometimes at very good prices. Always verify cancellation policies, as they vary widely.
Do consider how you're getting to Shenzen. If you're taking the train you may want to get a room near the station even if it does cost more, as traffic can be horrendous (and subway (MTR) connections aren't always convenient).
Hope this helps, and hope you have a chance for some fun - HK is such a great place to visit.
-J