KMG to HKG
 

What is my best plan to price and purchase this ticket? Am I better off flying to Shenzen and transiting to HKG from there?

The cheapest way is probably buying a ticket, IN CHINA, to Guanzhou or Shenzhen and then getting the bus/train to Hong Kong.

I got a bus from Guangzhou last year and, IIRC, it was about RMB50.

If by best you mean cheapest, then flying to Shenzhen or Guangzhou is best. I usually do Shenzhen (it is closer to HKG) and there is a direct bus to the HKG airport. There is also a ferry terminal 10-15 minutes away that has a ferry service to the airport. Flying into HKG directly is certainly more convenient but much more expensive. Taking the direct bus or the ferry involves minimal hassle.

I did the same thing last year and found it exactly the same price, all included, to buy a ticket to HKG from a travel agent in Kunming. This was because the discounts to Shenzhen were minimal (~10%), and because the ~400 HKD departure tax wasn't collected as it was inbound to Hong Kong.

I paid approx 1300 RMB, all included, for the one-way on China Southern.