Thanks to everyone for their information. The bus service from Kowloon seems particularly attractive to me, it gives me a chance to see the new bridge over Deep Bay/Shenzhen Wan!
Regarding the KCR services to Lok Ma Chau, this information (
http://www.kcrc.com/html/eng/service...rail/index.asp, specifically "Lok Ma Chau Station is linked to the joint inspection building at Shenzhen Futian Control Point and the Huanggang Station of the Shenzhen Metro via a fully-covered pedestrian footbridge.") seems to imply that crossing the border at this location is pretty hassle-free. Taking the bus is easier yet I suppose since the Western Corridor apparently has both Hong Kong and Chinese formalities done in the same facility.