Check out this thread on the HK forum recently:

http://flyertalk.com/forums/showthread.php?t=680485

The two "official" companies that do HKG limos are listed here:

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

They have private cars that can go up to Shenzhen without having to get off.

Or if the timing is right, take the direct ferry from HKG's Skypier to Shekou in Shenzhen, without actually having to go through Hong Kong immigration. Then, just taxi from the Shekou port to wherever in Shenzhen you need to be:

http://www.hongkongairport.com/eng/aguide/skypier.html