if ur priority is cost rather than speed, then china eastern and china southern fly to shenzhen. since these are internal flights, they can be a lot cheaper and normally depart from hongqiao airport, which can be more convenient than pudong (although some airlines, such as shenzhen airlines, fly from pudong). if u're trying to book online, then the china southern website can be very slow.

after u arrive at shenzhen airport, a ferry can take u from fuyong pier to hong kong airport airside, passing through mainland chinese passport control only (not hk immigration). u must have a ticket for a suitable departure from hong kong airport, otherwise u cannot board this ferry, whose journey time is theoretically 45 minutes.

http://www.hongkongairport.com/eng/a..._schedule.html

ian.