Wow, so many questions, I will tell you as much as possible.
1. Shenzhen Airport to Luohu
seems no train runs in this way but frequent shuttle buses. You could take the shuttle of K566 or the express bus 330 at the airport, both of which terminals is the Luo Hu Railway Station. The fee is 20RMB per head for a singal way.

2. from Shenzhen to Guangzhou numerous ways
by train from the Railway Station,
by bus, once arrive at the Luo Hu Railway Station, you could get coaches to Guangzhou from the Luo Hu Coach Station at the west square. The fare varies from 55RMB to about RMB70 in terms of the travel time and destinations in Guangzhou.

3.Shenzhen to Hong Kong
the Shenzhen airport has direct buses to Hong Kong, and it also has buses to Fuyong Pier where your could take ferry to Hong Kong.
see here https://www.travelchinaguide.com/cityguides/guangdong/shenzhen/transportation/
by coach, there are lots of buses could take you to Hong Kong around the Luo Hu or Huanggang Ports in Shezhen. no idea about the fee....